Normals.h File Reference

#include <valarray>
#include "./types.h"
#include "./utils.h"

Go to the source code of this file.

Functions
Real	NormalDensity (Real x)
Real	CumulativeNormal (Real x)
Real	InverseCumulativeNormal (Real x)
Real	Average (valarray< Real > Ptr, LongNatural dim)
Real	Maximize (valarray< Real > Ptr, LongNatural dim)
Real	CumulativeBivariateNormal (Real a, Real b, Real rho)
	Bivariate normal distribution - from Hull's book.
Real	SubFunctionForBivariateNormal (Real X, Real y, Real ap, Real bp, Real rho)

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Function Documentation

Real Average (  valarray< Real >  Ptr, LongNatural  dim )

Definition at line 116 of file Normals.cpp. References LongNatural, and Real. Referenced by PayOff::AsianCall(), and PayOff::AsianPut().

Real CumulativeBivariateNormal (  Real  a, Real  b, Real  rho )

Bivariate normal distribution - from Hull's book. Author: Yann Definition at line 144 of file Normals.cpp. References a, CumulativeNormal(), Natural, Real, sign(), and SubFunctionForBivariateNormal(). Referenced by RainbowOption::compute_A(), RainbowOption::compute_B(), and RainbowOption::compute_C().

Real CumulativeNormal (  Real  x  )

Definition at line 82 of file Normals.cpp. References a, NormalDensity(), and Real. Referenced by RainbowOption::compute_A(), RainbowOption::compute_B(), CumulativeBivariateNormal(), BlackScholes::getDelta(), BlackScholes::getPrice(), BlackScholes::getRho(), and BlackScholes::getTheta().

Real InverseCumulativeNormal (  Real  x  )

Definition at line 23 of file Normals.cpp. References a, r, and Real. Referenced by Random::GetGaussian(), and Random::GetGaussians().

Real Maximize (  valarray< Real >  Ptr, LongNatural  dim )

Definition at line 130 of file Normals.cpp. References LongNatural, and Real. Referenced by PayOff::RevLookbackCall(), and PayOff::RevLookbackPut().

Real NormalDensity (  Real  x  )

Definition at line 17 of file Normals.cpp. References OneOverRootTwoPi, and Real. Referenced by CumulativeNormal(), BlackScholes::getGamma(), BlackScholes::getTheta(), and BlackScholes::getVega().

Real SubFunctionForBivariateNormal (  Real  X, Real  y, Real  ap, Real  bp, Real  rho )

Definition at line 189 of file Normals.cpp. References r, and Real. Referenced by CumulativeBivariateNormal().

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