QuantLib_NormalDistribution (3) - Linux Manuals
QuantLib_NormalDistribution: Normal distribution function.
NAME
QuantLib::NormalDistribution - Normal distribution function.
SYNOPSIS
#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.
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
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