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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2016 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
<https://www.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.
*/
/*! \file stochasticcollocationinvcdf.hpp
Stochastic collocation inverse cumulative distribution function
*/
#ifndef quantlib_stochastic_collation_inv_cdf_hpp
#define quantlib_stochastic_collation_inv_cdf_hpp
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/interpolations/lagrangeinterpolation.hpp>
#include <ql/functional.hpp>
namespace QuantLib {
//! Stochastic collocation inverse cumulative distribution function
/*! References:
L.A. Grzelak, J.A.S. Witteveen, M.Suárez-Taboada, C.W. Oosterlee,
The Stochastic Collocation Monte Carlo Sampler: Highly efficient
sampling from “expensive” distributions
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2529691
*/
class StochasticCollocationInvCDF {
public:
StochasticCollocationInvCDF(
const std::function<Real(Real)>& invCDF,
Size lagrangeOrder,
Real pMax = Null<Real>(),
Real pMin = Null<Real>());
Real value(Real x) const;
Real operator()(Real u) const;
private:
const Array x_;
const Volatility sigma_;
const Array y_;
const LagrangeInterpolation interpl_;
};
}
#endif
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