#include <ql/methods/finitedifferences/utilities/localvolrndcalculator.hpp>

Inheritance diagram for LocalVolRNDCalculator:

Collaboration diagram for LocalVolRNDCalculator:

Public Member Functions
	LocalVolRNDCalculator (ext::shared_ptr< Quote > spot, ext::shared_ptr< YieldTermStructure > rTS, ext::shared_ptr< YieldTermStructure > qTS, const ext::shared_ptr< LocalVolTermStructure > &localVol, Size xGrid=101, Size tGrid=51, Real x0Density=0.1, Real localVolProbEps=1e-6, Size maxIter=10000, Time gaussianStepSize=-Null< Time >())

	LocalVolRNDCalculator (ext::shared_ptr< Quote > spot, ext::shared_ptr< YieldTermStructure > rTS, ext::shared_ptr< YieldTermStructure > qTS, ext::shared_ptr< LocalVolTermStructure > localVol, const ext::shared_ptr< TimeGrid > &timeGrid, Size xGrid=101, Real x0Density=0.1, Real eps=1e-6, Size maxIter=10000, Time gaussianStepSize=-Null< Time >())

Real	pdf (Real x, Time t) const override

Real	cdf (Real x, Time t) const override

Real	invcdf (Real p, Time t) const override

ext::shared_ptr< TimeGrid >	timeGrid () const

ext::shared_ptr< Fdm1dMesher >	mesher (Time t) const

std::vector< Size >	rescaleTimeSteps () const

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

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Protected Member Functions
void	performCalculations () const override

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Private Member Functions
Real	probabilityInterpolation (Size idx, Real x) const

Array	rescalePDF (const Array &x, const Array &p) const

Private Attributes
const Size	xGrid_

const Size	tGrid_

const Real	x0Density_

const Real	localVolProbEps_

const Size	maxIter_

const Time	gaussianStepSize_

const ext::shared_ptr< Quote >	spot_

const ext::shared_ptr< LocalVolTermStructure >	localVol_

const ext::shared_ptr< YieldTermStructure >	rTS_

const ext::shared_ptr< YieldTermStructure >	qTS_

const ext::shared_ptr< TimeGrid >	timeGrid_

std::vector< ext::shared_ptr< Fdm1dMesher > >	xm_

const ext::shared_ptr< Matrix >	pm_

std::vector< Size >	rescaleTimeSteps_

std::vector< ext::shared_ptr< Interpolation > >	pFct_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Definition at line 43 of file localvolrndcalculator.hpp.

Constructor & Destructor Documentation

◆ LocalVolRNDCalculator() [1/2]

LocalVolRNDCalculator	(	ext::shared_ptr< Quote >	spot,
		ext::shared_ptr< YieldTermStructure >	rTS,
		ext::shared_ptr< YieldTermStructure >	qTS,
		const ext::shared_ptr< LocalVolTermStructure > &	localVol,
		Size	xGrid = `101`,
		Size	tGrid = `51`,
		Real	x0Density = `0.1`,
		Real	localVolProbEps = `1e-6`,
		Size	maxIter = `10000`,
		Time	gaussianStepSize = `-Null<Time>()`
	)

Definition at line 43 of file localvolrndcalculator.cpp.

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◆ LocalVolRNDCalculator() [2/2]

LocalVolRNDCalculator	(	ext::shared_ptr< Quote >	spot,
		ext::shared_ptr< YieldTermStructure >	rTS,
		ext::shared_ptr< YieldTermStructure >	qTS,
		ext::shared_ptr< LocalVolTermStructure >	localVol,
		const ext::shared_ptr< TimeGrid > &	timeGrid,
		Size	xGrid = `101`,
		Real	x0Density = `0.1`,
		Real	eps = `1e-6`,
		Size	maxIter = `10000`,
		Time	gaussianStepSize = `-Null<Time>()`
	)

Definition at line 65 of file localvolrndcalculator.cpp.

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Member Function Documentation

◆ pdf()

Real pdf	(	Real	x,
		Time	t
	)		const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 85 of file localvolrndcalculator.cpp.

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◆ cdf()

Real cdf	(	Real	x,
		Time	t
	)		const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 127 of file localvolrndcalculator.cpp.

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◆ invcdf()

Real invcdf	(	Real	p,
		Time	t
	)		const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 168 of file localvolrndcalculator.cpp.

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◆ timeGrid()

ext::shared_ptr< TimeGrid > timeGrid ( ) const

Definition at line 212 of file localvolrndcalculator.cpp.

◆ mesher()

ext::shared_ptr< Fdm1dMesher > mesher ( Time t ) const

Definition at line 197 of file localvolrndcalculator.cpp.

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◆ rescaleTimeSteps()

std::vector< Size > rescaleTimeSteps ( ) const

Definition at line 334 of file localvolrndcalculator.cpp.

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◆ performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 216 of file localvolrndcalculator.cpp.

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◆ probabilityInterpolation()

Real probabilityInterpolation	(	Size	idx,
		Real	x
	)		const

private

Definition at line 340 of file localvolrndcalculator.cpp.

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◆ rescalePDF()

Array rescalePDF	(	const Array &	x,
		const Array &	p
	)		const

private

Definition at line 351 of file localvolrndcalculator.cpp.

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Member Data Documentation

◆ xGrid_

const Size xGrid_

private

Definition at line 84 of file localvolrndcalculator.hpp.

◆ tGrid_

const Size tGrid_

private

Definition at line 84 of file localvolrndcalculator.hpp.

◆ x0Density_

const Real x0Density_

private

Definition at line 85 of file localvolrndcalculator.hpp.

◆ localVolProbEps_

const Real localVolProbEps_

private

Definition at line 86 of file localvolrndcalculator.hpp.

◆ maxIter_

const Size maxIter_

private

Definition at line 87 of file localvolrndcalculator.hpp.

◆ gaussianStepSize_

const Time gaussianStepSize_

private

Definition at line 88 of file localvolrndcalculator.hpp.

◆ spot_

const ext::shared_ptr<Quote> spot_

private

Definition at line 89 of file localvolrndcalculator.hpp.

◆ localVol_

const ext::shared_ptr<LocalVolTermStructure> localVol_

private

Definition at line 90 of file localvolrndcalculator.hpp.

◆ rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 91 of file localvolrndcalculator.hpp.

◆ qTS_

const ext::shared_ptr<YieldTermStructure> qTS_

private

Definition at line 92 of file localvolrndcalculator.hpp.

◆ timeGrid_

const ext::shared_ptr<TimeGrid> timeGrid_

private

Definition at line 93 of file localvolrndcalculator.hpp.

◆ xm_

std::vector<ext::shared_ptr<Fdm1dMesher> > xm_

mutableprivate

Definition at line 94 of file localvolrndcalculator.hpp.

◆ pm_

const ext::shared_ptr<Matrix> pm_

private

Definition at line 95 of file localvolrndcalculator.hpp.

◆ rescaleTimeSteps_

std::vector<Size> rescaleTimeSteps_

mutableprivate

Definition at line 96 of file localvolrndcalculator.hpp.

◆ pFct_

std::vector<ext::shared_ptr<Interpolation> > pFct_

mutableprivate

Definition at line 97 of file localvolrndcalculator.hpp.

Public Member Functions

Protected Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ LocalVolRNDCalculator() [1/2]

◆ LocalVolRNDCalculator() [2/2]

Member Function Documentation

◆ pdf()

◆ cdf()

◆ invcdf()

◆ timeGrid()

◆ mesher()

◆ rescaleTimeSteps()

◆ performCalculations()

◆ probabilityInterpolation()

◆ rescalePDF()

Member Data Documentation

◆ xGrid_

◆ tGrid_

◆ x0Density_

◆ localVolProbEps_

◆ maxIter_

◆ gaussianStepSize_

◆ spot_

◆ localVol_

◆ rTS_

◆ qTS_

◆ timeGrid_

◆ xm_

◆ pm_

◆ rescaleTimeSteps_

◆ pFct_