QuantLib_CumulativeNormalDistribution man page

CumulativeNormalDistribution — Cumulative normal distribution function.


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

Inherits unary_function< Real, Real >.

Public Member Functions

CumulativeNormalDistribution (Real average=0.0, Real sigma=1.0)

Real operator() (Real x) const

Real derivative (Real x) const

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)


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Referenced By

CumulativeNormalDistribution(3) is an alias of QuantLib_CumulativeNormalDistribution(3).

QuantLib Version 1.8.1 Fri Sep 23 2016