derivative (3) - Linux Manuals

derivative: Normal distribution function.


QuantLib::NormalDistribution - Normal distribution function.


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

Inherits std::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.


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.


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