Class CumulativeNormalDistribution

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)

Hierarchy

CumulativeNormalDistribution

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

Methods

d
f

Constructors

constructor

new CumulativeNormalDistribution(average?: Real, sigma?: Real): CumulativeNormalDistribution

- Defined in ql/math/distributions/normaldistribution.ts:71
Parameters
- Default value average: Real = 0
- Default value sigma: Real = 1
Returns CumulativeNormalDistribution

Properties

Private _average

_average: Real

Private _errorFunction

_errorFunction: ErrorFunction = new ErrorFunction()

Private _gaussian

_gaussian: UnaryFunction<Real, Real> = new NormalDistribution()

Private _sigma

_sigma: Real

Methods

d

d(x: Real): Real

- Defined in ql/math/distributions/normaldistribution.ts:109
Parameters
- x: Real
Returns Real

f

f(z: Real): Real

- Defined in ql/math/distributions/normaldistribution.ts:81
Parameters
- z: Real
Returns Real