CumulativeNormalDistribution Class Reference

Cumulative normal distribution function. More...

#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)