QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Types | Public Member Functions | List of all members
NormalDistribution Class Reference

Normal distribution function. More...

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

Public Types

typedef Real argument_type
 
typedef Real result_type
 

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.