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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 Johannes Göttker-Schnetmann
Copyright (C) 2015 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/math/functional.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>
#include <ql/functional.hpp>
namespace QuantLib {
RiskNeutralDensityCalculator::InvCDFHelper::InvCDFHelper(
const RiskNeutralDensityCalculator* calculator,
Real guess, Real accuracy, Size maxEvaluations,
Real stepSize)
: calculator_(calculator),
guess_(guess),
accuracy_(accuracy),
maxEvaluations_(maxEvaluations),
stepSize_(stepSize) { }
Real RiskNeutralDensityCalculator::InvCDFHelper::inverseCDF(Real p, Time t)
const {
using namespace ext::placeholders;
const ext::function<Real(Real)> cdf
= ext::bind(&RiskNeutralDensityCalculator::cdf,
calculator_, _1, t);
Brent solver;
solver.setMaxEvaluations(maxEvaluations_);
return solver.solve(compose(subtract<Real>(p), cdf),
accuracy_, guess_, stepSize_);
}
}
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