| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2003 Ferdinando Ametrano |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file errorfunction.hpp |
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| 21 | \brief Error function |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_error_function_h |
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| 25 | #define quantlib_error_function_h |
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| 26 | |
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| 27 | #include <ql/types.hpp> |
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| 28 | #include <functional> |
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| 29 | |
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| 30 | namespace QuantLib { |
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| 31 | |
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| 32 | //! %Error function |
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| 33 | /*! formula here ... |
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| 34 | Used to calculate the cumulative normal distribution function |
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| 35 | */ |
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| 36 | class ErrorFunction { |
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| 37 | public: |
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| 38 | /*! \deprecated Use `auto` or `decltype` instead. |
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| 39 | Deprecated in version 1.29. |
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| 40 | */ |
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| 41 | QL_DEPRECATED |
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| 42 | typedef Real argument_type; |
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| 43 | |
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| 44 | /*! \deprecated Use `auto` or `decltype` instead. |
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| 45 | Deprecated in version 1.29. |
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| 46 | */ |
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| 47 | QL_DEPRECATED |
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| 48 | typedef Real result_type; |
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| 49 | |
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| 50 | ErrorFunction() = default; |
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| 51 | // function |
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| 52 | Real operator()(Real x) const; |
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| 53 | private: |
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| 54 | static const Real tiny, one, erx, efx, efx8; |
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| 55 | static const Real pp0, pp1,pp2,pp3,pp4; |
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| 56 | static const Real qq1,qq2,qq3,qq4,qq5; |
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| 57 | static const Real pa0,pa1,pa2,pa3,pa4,pa5,pa6; |
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| 58 | static const Real qa1,qa2,qa3,qa4,qa5,qa6; |
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| 59 | static const Real ra0,ra1,ra2,ra3,ra4,ra5,ra6,ra7; |
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| 60 | static const Real sa1,sa2,sa3,sa4,sa5,sa6,sa7,sa8; |
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| 61 | static const Real rb0,rb1,rb2,rb3,rb4,rb5,rb6; |
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| 62 | static const Real sb1,sb2,sb3,sb4,sb5,sb6,sb7; |
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| 63 | }; |
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| 64 | |
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| 65 | } |
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| 66 | |
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| 67 | |
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| 68 | #endif |
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| 69 | |
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