CEVCalculator Class Reference

constant elasticity of variance process (absorbing boundary at f=0) More...

#include <ql/pricingengines/vanilla/analyticcevengine.hpp>

Collaboration diagram for CEVCalculator:

Public Member Functions
	CEVCalculator (Real f0, Real alpha, Real beta)
Real	value (Option::Type optionType, Real strike, Time t) const
Real	f0 () const
Real	alpha () const
Real	beta () const

Private Member Functions
Real	X (Real f) const

Private Attributes
const Real	f0_
const Real	alpha_
const Real	beta_
const Real	delta_
const Real	x0_

Detailed Description

constant elasticity of variance process (absorbing boundary at f=0)

\[ df_t = \alpha f_t^\beta \mathrm{d}W_t \]

References:

D.R. Brecher, A.E. Lindsay, Results on the CEV Process, Past and Present https://www.fincad.com/sites/default/files/wysiwyg/Resources-Wiki/cev-process-working-paper.pdf

Definition at line 45 of file analyticcevengine.hpp.

Constructor & Destructor Documentation

CEVCalculator()

CEVCalculator	(	Real	f0,
		Real	alpha,
		Real	beta
	)

Definition at line 31 of file analyticcevengine.cpp.

Member Function Documentation

value()

Real value	(	Option::Type	optionType,
		Real	strike,
		Time	t
	)		const

Definition at line 42 of file analyticcevengine.cpp.

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f0()

Real f0

(

)

const

Definition at line 51 of file analyticcevengine.hpp.

alpha()

Real alpha

(

)

const

Definition at line 52 of file analyticcevengine.hpp.

beta()

Real beta

(

)

const

Definition at line 53 of file analyticcevengine.hpp.

X()

Real X ( Real  f ) const

private

Definition at line 38 of file analyticcevengine.cpp.

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Member Data Documentation

f0_

const Real f0_

private

Definition at line 58 of file analyticcevengine.hpp.

alpha_

const Real alpha_

private

Definition at line 58 of file analyticcevengine.hpp.

beta_

const Real beta_

private

Definition at line 58 of file analyticcevengine.hpp.

delta_

const Real delta_

private

Definition at line 58 of file analyticcevengine.hpp.

x0_

const Real x0_

private

Definition at line 58 of file analyticcevengine.hpp.