riskneutraldensitycalculator.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2015 Johannes Göttker-Schnetmann
 Copyright (C) 2015 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/math/solvers1d/brent.hpp>
#include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>
 
namespace QuantLib {
 
    RiskNeutralDensityCalculator::InvCDFHelper::InvCDFHelper(
        const RiskNeutralDensityCalculator* calculator,
        Real guess, Real accuracy, Size maxEvaluations,
        Real stepSize)
    : calculator_(calculator),
      guess_(guess),
      accuracy_(accuracy),
      maxEvaluations_(maxEvaluations),
      stepSize_(stepSize) { }
 
    Real RiskNeutralDensityCalculator::InvCDFHelper::inverseCDF(Real p, Time t) const {
        Brent solver;
        solver.setMaxEvaluations(maxEvaluations_);
        return solver.solve([&](Real _x) -> Real { return calculator_->cdf(_x, t) - p; },
                            accuracy_, guess_, stepSize_);
    }
 
}