RiskNeutralDensityCalculator::InvCDFHelper Class Reference

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

Collaboration diagram for RiskNeutralDensityCalculator::InvCDFHelper:

Public Member Functions
	InvCDFHelper (const RiskNeutralDensityCalculator *calculator, Real guess, Real accuracy, Size maxEvaluations, Real stepSize=0.01)
Real	inverseCDF (Real p, Time t) const

Private Attributes
const RiskNeutralDensityCalculator *const	calculator_
const Real	guess_
const Real	accuracy_
const Size	maxEvaluations_
const Real	stepSize_

Detailed Description

Definition at line 40 of file riskneutraldensitycalculator.hpp.

Constructor & Destructor Documentation

InvCDFHelper()

InvCDFHelper	(	const RiskNeutralDensityCalculator *	calculator,
		Real	guess,
		Real	accuracy,
		Size	maxEvaluations,
		Real	stepSize = 0.01
	)

Definition at line 26 of file riskneutraldensitycalculator.cpp.

Member Function Documentation

inverseCDF()

Real inverseCDF	(	Real	p,
		Time	t
	)		const

Definition at line 36 of file riskneutraldensitycalculator.cpp.

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Member Data Documentation

calculator_

const RiskNeutralDensityCalculator* const calculator_

private

Definition at line 48 of file riskneutraldensitycalculator.hpp.

guess_

const Real guess_

private

Definition at line 49 of file riskneutraldensitycalculator.hpp.

accuracy_

const Real accuracy_

private

Definition at line 50 of file riskneutraldensitycalculator.hpp.

maxEvaluations_

const Size maxEvaluations_

private

Definition at line 51 of file riskneutraldensitycalculator.hpp.

stepSize_

const Real stepSize_

private

Definition at line 52 of file riskneutraldensitycalculator.hpp.