1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2003 Ferdinando Ametrano 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 /*! \file errorfunction.hpp 21 \brief Error function 22 */ 23 24 #ifndef quantlib_error_function_h 25 #define quantlib_error_function_h 26 27 #include <ql/types.hpp> 28 #include <functional> 29 30 namespace QuantLib { 31 32 //! %Error function 33 /*! formula here ... 34 Used to calculate the cumulative normal distribution function 35 */ 36 class ErrorFunction { 37 public: 38 typedef Real argument_type; 39 typedef Real result_type; 40 ErrorFunction()41 ErrorFunction() {} 42 // function 43 Real operator()(Real x) const; 44 private: 45 static const Real tiny, one, erx, efx, efx8; 46 static const Real pp0, pp1,pp2,pp3,pp4; 47 static const Real qq1,qq2,qq3,qq4,qq5; 48 static const Real pa0,pa1,pa2,pa3,pa4,pa5,pa6; 49 static const Real qa1,qa2,qa3,qa4,qa5,qa6; 50 static const Real ra0,ra1,ra2,ra3,ra4,ra5,ra6,ra7; 51 static const Real sa1,sa2,sa3,sa4,sa5,sa6,sa7,sa8; 52 static const Real rb0,rb1,rb2,rb3,rb4,rb5,rb6; 53 static const Real sb1,sb2,sb3,sb4,sb5,sb6,sb7; 54 }; 55 56 } 57 58 59 #endif 60