NormalDistribution Class Reference

Normal distribution function. More...

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

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.