24#include <boost/math/distributions/non_central_chi_squared.hpp>
39 const boost::math::non_central_chi_squared_distribution<Real>
42 return boost::math::pdf(dist,
v*k) * k;
50 const boost::math::non_central_chi_squared_distribution<Real>
53 return boost::math::cdf(dist,
v*k);
61 const boost::math::non_central_chi_squared_distribution<Real>
64 return boost::math::quantile(dist,
q) / k;
86 return boost::math::gamma_p_inv(
alpha,
q)/
beta;
Real stationary_cdf(Real v) const
Real stationary_invcdf(Real q) const
SquareRootProcessRNDCalculator(Real v0, Real kappa, Real theta, Real sigma)
Real invcdf(Real q, Time t) const override
Real pdf(Real v, Time t) const override
Real cdf(Real v, Time t) const override
Real stationary_pdf(Real v) const
Real Time
continuous quantity with 1-year units
ext::shared_ptr< YieldTermStructure > q
ext::shared_ptr< BlackVolTermStructure > v
risk neutral terminal density calculator for the square root process