gbsmrndcalculator.hpp File Reference

risk neutral terminal density calculator for the Black-Scholes-Merton model with skew dependent volatility More...

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

Go to the source code of this file.

Classes
class	GBSMRNDCalculator

Namespaces
namespace	QuantLib

Detailed Description

risk neutral terminal density calculator for the Black-Scholes-Merton model with skew dependent volatility

risk neutral terminal density calculator for the Black-Scholes-Merton model with strike dependent volatility

Definition in file gbsmrndcalculator.hpp.