QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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gbsmrndcalculator.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2017 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file gbsmrndcalculator.hpp
21 \brief risk neutral terminal density calculator for the
22 Black-Scholes-Merton model with strike dependent volatility
23*/
24
25#ifndef quantlib_gbsm_risk_neutral_density_calculator_hpp
26#define quantlib_gbsm_risk_neutral_density_calculator_hpp
27
29#include <ql/shared_ptr.hpp>
30
31namespace QuantLib {
32 class GeneralizedBlackScholesProcess;
33
35 public:
36 explicit GBSMRNDCalculator(ext::shared_ptr<GeneralizedBlackScholesProcess> process);
37
38 Real pdf(Real s, Time t) const override;
39 Real cdf(Real s, Time t) const override;
40 Real invcdf(Real q, Time t) const override;
41
42 private:
43 const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
44 };
45}
46
47#endif
Real cdf(Real s, Time t) const override
Real pdf(Real s, Time t) const override
Real invcdf(Real q, Time t) const override
const ext::shared_ptr< GeneralizedBlackScholesProcess > process_
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
ext::shared_ptr< YieldTermStructure > q
interface for a single asset risk neutral terminal density calculation
Maps shared_ptr to either the boost or std implementation.