QuantLib_NormalDistribution man page

NormalDistribution — Normal distribution function.

Synopsis

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

Inherits unary_function< Real, Real >.

Public Member Functions

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

Real operator() (Real x) const

Real derivative (Real x) const

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

NormalDistribution(3) is an alias of QuantLib_NormalDistribution(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib