QuantLib: a free/open-source library for quantitative finance
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cevrndcalculator.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2018 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 cevrndcalculator.hpp
21 \brief risk neutral density calculator for the
22 constant elasticity of variance (CEV) model
23*/
24
25#ifndef quantlib_cev_rnd_calculator_hpp
26#define quantlib_cev_rnd_calculator_hpp
27
29
30namespace QuantLib {
31 //! constant elasticity of variance process (absorbing boundary at f=0)
32 /*! \f[
33 df_t = \alpha f_t^\beta \mathrm{d}W_t
34 \f]
35 */
36
37 /*! References:
38
39 D.R. Brecher, A.E. Lindsay, Results on the CEV Process, Past and Present
40 https://www.fincad.com/sites/default/files/wysiwyg/Resources-Wiki/cev-process-working-paper.pdf
41 */
42
44 public:
46
47 Real massAtZero(Time t) const;
48
49 Real pdf(Real f, Time t) const override;
50 Real cdf(Real f, Time t) const override;
51 Real invcdf(Real q, Time t) const override;
52
53 private:
54 Real X(Real f) const;
55 Real invX(Real f) const;
56 Real sankaranApprox(Real f, Time t, Real x) const;
57
59 };
60}
61
62#endif
constant elasticity of variance process (absorbing boundary at f=0)
Real pdf(Real f, Time t) const override
Real massAtZero(Time t) const
Real invcdf(Real q, Time t) const override
Real cdf(Real f, Time t) const override
Real sankaranApprox(Real f, Time t, Real x) const
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
Real beta
Definition: sabr.cpp:200
Real alpha
Definition: sabr.cpp:200