NormalDistribution Class Reference

#include <ql/math/distributions/normaldistribution.hpp>

List of all members.


Detailed Description

Normal distribution function.

Given x, it returns its probability in a Gaussian normal distribution. It provides the first derivative too.

Tests:
the correctness of the returned value is tested by checking it against numerical calculations. Cross-checks are also performed against the CumulativeNormalDistribution and InverseCumulativeNormal classes.


Public Member Functions

 NormalDistribution (Real average=0.0, Real sigma=1.0)
Real operator() (Real x) const
Real derivative (Real x) const