org.jquantlib.math.distributions

Class CumulativeNormalDistribution

java.lang.Object

org.jquantlib.math.distributions.NormalDistribution

org.jquantlib.math.distributions.CumulativeNormalDistribution

All Implemented Interfaces:

Derivative, Ops.DoubleOp

public class CumulativeNormalDistribution
extends NormalDistribution
implements Ops.DoubleOp

Cumulative normal distribution function (CDF).

Given x it provides an approximation to the integral of the Gaussian Normal Distribution.

See Also:

M. Abramowitz and I. Stegun, Handbook of Mathematical Functions, Dover Publications, New York (1972), Cumulative Normal Distribution

Constructor Summary

Constructors

Constructor and Description
CumulativeNormalDistribution()
CumulativeNormalDistribution(double average, double sigma)

Method Summary

Modifier and Type	Method and Description
double	derivative(double x) Computes the derivative.
double	op(double z) Computes the cumulative normal distribution.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CumulativeNormalDistribution

public CumulativeNormalDistribution()

CumulativeNormalDistribution

public CumulativeNormalDistribution(double average,
                                    double sigma)

Method Detail

op

public double op(double z)

Computes the cumulative normal distribution.

Asymptotic expansion for very negative z as references on M. Abramowitz book.

Specified by:

op in interface Ops.DoubleOp

Overrides:

op in class NormalDistribution

Parameters:

z -

Returns:

result

See Also:

"Monte Carlo Methods in Finance", ISBN-13: 978-0471497417, M. Abramowitz and A. Stegun, Pocketbook of Mathematical Functions, ISBN 3-87144818-4, p.408, item 26.2.12

derivative

public double derivative(double x)

Computes the derivative.

Specified by:

derivative in interface Derivative

Overrides:

derivative in class NormalDistribution

Parameters:

x -

Returns:

gaussian.evaluate(xn) / sigma