cevrndcalculator.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2018 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.
*/
 
#ifndef quantlib_cev_rnd_calculator_hpp
#define quantlib_cev_rnd_calculator_hpp
 
#include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>
 
namespace QuantLib {
 
    class CEVRNDCalculator : public RiskNeutralDensityCalculator {
      public:
        CEVRNDCalculator(Real f0, Real alpha, Real beta);
 
        Real massAtZero(Time t) const;
 
        Real pdf(Real f, Time t) const override;
        Real cdf(Real f, Time t) const override;
        Real invcdf(Real q, Time t) const override;
 
      private:
        Real X(Real f) const;
        Real invX(Real f) const;
        Real sankaranApprox(Real f, Time t, Real x) const;
 
        const Real f0_, alpha_, beta_, delta_, x0_;
    };
}
 
#endif