HestonRNDCalculator Class Reference

Risk neutral terminal probability density for the Heston model. More...

#include <hestonrndcalculator.hpp>

Inheritance diagram for HestonRNDCalculator:

Collaboration diagram for HestonRNDCalculator:

Public Member Functions
	HestonRNDCalculator (ext::shared_ptr< HestonProcess > hestonProcess, Real integrationEps=1e-6, Size maxIntegrationIterations=10000UL)
Real	pdf (Real x, Time t) const override
Real	cdf (Real x, Time t) const override
Real	invcdf (Real q, Time t) const override
Public Member Functions inherited from RiskNeutralDensityCalculator
virtual Real	pdf (Real x, Time t) const =0
virtual Real	cdf (Real x, Time t) const =0
virtual Real	invcdf (Real p, Time t) const =0
virtual	~RiskNeutralDensityCalculator ()=default

Private Member Functions
Real	x_t (Real x, Time t) const

Private Attributes
const ext::shared_ptr< HestonProcess >	hestonProcess_
const Real	x0_
const Real	integrationEps_
const Size	maxIntegrationIterations_

Detailed Description

Risk neutral terminal probability density for the Heston model.

References:

The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability distribution of returns in the Heston model with stochastic volatility. http://arxiv.org/pdf/cond-mat/0203046.pdf

Definition at line 45 of file hestonrndcalculator.hpp.

Constructor & Destructor Documentation

HestonRNDCalculator()

HestonRNDCalculator ( ext::shared_ptr< HestonProcess >  hestonProcess, Real  integrationEps = 1e-6, Size  maxIntegrationIterations = 10000UL  )

explicit

Definition at line 110 of file hestonrndcalculator.cpp.

Member Function Documentation

pdf()

Real pdf ( Real  x, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 123 of file hestonrndcalculator.cpp.

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cdf()

Real cdf ( Real  x, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 130 of file hestonrndcalculator.cpp.

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invcdf()

Real invcdf ( Real  q, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 138 of file hestonrndcalculator.cpp.

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x_t()

Real x_t ( Real  x, Time  t  ) const

private

Definition at line 116 of file hestonrndcalculator.cpp.

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Member Data Documentation

hestonProcess_

const ext::shared_ptr<HestonProcess> hestonProcess_

private

Definition at line 59 of file hestonrndcalculator.hpp.

x0_

const Real x0_

private

Definition at line 60 of file hestonrndcalculator.hpp.

integrationEps_

const Real integrationEps_

private

Definition at line 61 of file hestonrndcalculator.hpp.

maxIntegrationIterations_

const Size maxIntegrationIterations_

private

Definition at line 62 of file hestonrndcalculator.hpp.