QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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stochasticcollocationinvcdf.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4
5 Copyright (C) 2016 Klaus Spanderen
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file stochasticcollationcdf.cpp
22*/
23
26#include <ql/mathconstants.hpp>
27
28namespace QuantLib {
29
30 namespace {
31 Array g(Real sigma, const Array& x,
32 const ext::function<Real(Real)>& invCDF) {
33
34 Array y(x.size());
35 const CumulativeNormalDistribution normalCDF;
36
37 for (Size i=0, n=x.size(); i < n; ++i) {
38 y[i] = invCDF(normalCDF(x[i]/sigma));
39 }
40
41 return y;
42 }
43 }
44
46 const ext::function<Real(Real)>& invCDF,
47 Size lagrangeOrder, Real pMax, Real pMin)
48 : x_(M_SQRT2*GaussHermiteIntegration(lagrangeOrder).x()),
49 sigma_( (pMax != Null<Real>())
50 ? x_.back() / InverseCumulativeNormal()(pMax)
51 : (pMin != Null<Real>())
52 ? Real(x_.front() / InverseCumulativeNormal()(pMin))
53 : 1.0),
54 y_(g(sigma_, x_, invCDF)),
55 interpl_(x_.begin(), x_.end(), y_.begin()) {
56 }
57
59 return interpl_(x*sigma_, true);
60 }
62 return value(InverseCumulativeNormal()(u));
63 }
64}
generalized Gauss-Hermite integration
Inverse cumulative normal distribution function.
template class providing a null value for a given type.
Definition: null.hpp:76
StochasticCollocationInvCDF(const ext::function< Real(Real)> &invCDF, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >())
Integral of a 1-dimensional function using the Gauss quadratures.
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Real sigma
#define M_SQRT2
Definition: any.hpp:35
std::uint64_t x_