derivative (3) Linux Manual Page
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.