CumulativeNormalDistribution Class Reference
#include <ql/math/distributions/normaldistribution.hpp>
Detailed Description
Cumulative normal distribution function.Given x it provides an approximation to the integral of the gaussian normal distribution: formula here ...
For this implementation see M. Abramowitz and I. Stegun, Handbook of Mathematical Functions, Dover Publications, New York (1972)
Public Member Functions | |
CumulativeNormalDistribution (Real average=0.0, Real sigma=1.0) | |
Real | operator() (Real x) const |
Real | derivative (Real x) const |