QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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squarerootprocessrndcalculator.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2015 Johannes Göttker-Schnetmann
5 Copyright (C) 2015 Klaus Spanderen
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21
23
24#include <boost/math/distributions/non_central_chi_squared.hpp>
25
26namespace QuantLib {
27
30 : v0_(v0), kappa_(kappa), theta_(theta),
31 d_(4*kappa/(sigma*sigma)), df_(d_*theta) { }
32
33
35 const Real e = std::exp(-kappa_*t);
36 const Real k = d_/(1-e);
37 const Real ncp = k*v0_*e;
38
39 const boost::math::non_central_chi_squared_distribution<Real>
40 dist(df_, ncp);
41
42 return boost::math::pdf(dist, v*k) * k;
43 }
44
46 const Real e = std::exp(-kappa_*t);
47 const Real k = d_/(1-e);
48 const Real ncp = k*v0_*e;
49
50 const boost::math::non_central_chi_squared_distribution<Real>
51 dist(df_, ncp);
52
53 return boost::math::cdf(dist, v*k);
54 }
55
57 const Real e = std::exp(-kappa_*t);
58 const Real k = d_/(1-e);
59 const Real ncp = k*v0_*e;
60
61 const boost::math::non_central_chi_squared_distribution<Real>
62 dist(df_, ncp);
63
64 return boost::math::quantile(dist, q) / k;
65 }
66
68 const Real alpha = 0.5*df_;
69 const Real beta = alpha/theta_;
70
71 return std::pow(beta, alpha)*std::pow(v, alpha-1)
72 *std::exp(-beta*v-boost::math::lgamma(alpha));
73 }
74
76 const Real alpha = 0.5*df_;
77 const Real beta = alpha/theta_;
78
79 return boost::math::gamma_p(alpha, beta*v);
80 }
81
83 const Real alpha = 0.5*df_;
84 const Real beta = alpha/theta_;
85
86 return boost::math::gamma_p_inv(alpha, q)/beta;
87 }
88}
const Real kappa_
SquareRootProcessRNDCalculator(Real v0, Real kappa, Real theta, Real sigma)
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real kappa
Real theta
Real v0
Real sigma
Definition: any.hpp:35
ext::shared_ptr< YieldTermStructure > q
ext::shared_ptr< BlackVolTermStructure > v
Real beta
Definition: sabr.cpp:200
Real alpha
Definition: sabr.cpp:200
risk neutral terminal density calculator for the square root process