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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
<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 squarerootprocessrndcalculator.hpp
\brief risk neutral terminal density calculator for the square root process
*/
#ifndef quantlib_square_root_process_risk_neutral_density_calculator_hpp
#define quantlib_square_root_process_risk_neutral_density_calculator_hpp
#include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>
namespace QuantLib {
class SquareRootProcessRNDCalculator : public RiskNeutralDensityCalculator {
public:
SquareRootProcessRNDCalculator(
Real v0, Real kappa, Real theta, Real sigma);
Real pdf(Real v, Time t) const override;
Real cdf(Real v, Time t) const override;
Real invcdf(Real q, Time t) const override;
Real stationary_pdf(Real v) const;
Real stationary_cdf(Real v) const;
Real stationary_invcdf(Real q) const;
private:
const Real v0_, kappa_, theta_, d_, df_;
};
}
#endif
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