GBSMRNDCalculator Class Reference

#include <ql/methods/finitedifferences/utilities/gbsmrndcalculator.hpp>

Inheritance diagram for GBSMRNDCalculator:

Collaboration diagram for GBSMRNDCalculator:

Public Member Functions
	GBSMRNDCalculator (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
Real	pdf (Real s, Time t) const override
Real	cdf (Real s, Time t) const override
Real	invcdf (Real q, Time t) const override
Public Member Functions inherited from RiskNeutralDensityCalculator
virtual Real	pdf (Real x, Time t) const =0
virtual Real	cdf (Real x, Time t) const =0
virtual Real	invcdf (Real p, Time t) const =0
virtual	~RiskNeutralDensityCalculator ()=default

Private Attributes
const ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Detailed Description

Definition at line 34 of file gbsmrndcalculator.hpp.

Constructor & Destructor Documentation

GBSMRNDCalculator()

GBSMRNDCalculator ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 34 of file gbsmrndcalculator.cpp.

Member Function Documentation

pdf()

Real pdf ( Real  s, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 37 of file gbsmrndcalculator.cpp.

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cdf()

Real cdf ( Real  s, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 43 of file gbsmrndcalculator.cpp.

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invcdf()

Real invcdf ( Real  q, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 74 of file gbsmrndcalculator.cpp.

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Member Data Documentation

process_

const ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 43 of file gbsmrndcalculator.hpp.