Class NormalDistribution

Namespace

NanoQL.Numerics

Assembly

NanoQL.dll

The normal distribution's density: for average μ and standard deviation σ, f(x) = exp(−(x − μ)²/(2σ²)) / (σ√(2π)), with its first derivative.

public sealed class NormalDistribution

Inheritance

object

NormalDistribution

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

QuantLib's GaussianDistribution is an alias of this class, and isn't ported.

Constructors

NormalDistribution(double, double)

Initializes a new instance of the NormalDistribution class.

public NormalDistribution(double average = 0, double sigma = 1)

Parameters

average double

The average μ.

sigma double

The standard deviation σ, positive.

Exceptions

ArgumentException

sigma isn't positive.

Methods

Derivative(double)

The density's first derivative at x, −f(x)(x − μ)/σ².

public double Derivative(double x)

Parameters

x double

The point.

Returns

double

The derivative; 0 where the density is 0.

Evaluate(double)

The density at x.

public double Evaluate(double x)

Parameters

x double

The point.

Returns

double

The density; 0 where the exponent is −690 or below.