RiskNeutralDensityCalculator Class Reference

#include <riskneutraldensitycalculator.hpp>

Inheritance diagram for RiskNeutralDensityCalculator:

Collaboration diagram for RiskNeutralDensityCalculator:

Classes
class	InvCDFHelper

Public Member Functions
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

Detailed Description

Definition at line 31 of file riskneutraldensitycalculator.hpp.

Constructor & Destructor Documentation

~RiskNeutralDensityCalculator()

virtual ~RiskNeutralDensityCalculator ( )

virtualdefault

Member Function Documentation

pdf()

virtual Real pdf ( Real  x, Time  t  ) const

pure virtual

Implemented in CEVRNDCalculator, GBSMRNDCalculator, SquareRootProcessRNDCalculator, BSMRNDCalculator, HestonRNDCalculator, and LocalVolRNDCalculator.

cdf()

virtual Real cdf ( Real  x, Time  t  ) const

pure virtual

Implemented in CEVRNDCalculator, GBSMRNDCalculator, SquareRootProcessRNDCalculator, BSMRNDCalculator, HestonRNDCalculator, and LocalVolRNDCalculator.

invcdf()

virtual Real invcdf ( Real  p, Time  t  ) const

pure virtual

Implemented in LocalVolRNDCalculator, BSMRNDCalculator, CEVRNDCalculator, GBSMRNDCalculator, HestonRNDCalculator, and SquareRootProcessRNDCalculator.