hestonrndcalculator.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2015 Johannes Göttker-Schnetmann
 Copyright (C) 2015 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.
*/
 
/*! \file hestonrndcalculator.hpp
    \brief risk neutral terminal density calculator for the
           Heston stochastic volatility model
*/
 
#ifndef quantlib_heston_risk_neutral_density_calculator_hpp
#define quantlib_heston_risk_neutral_density_calculator_hpp
 
#include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>
#include <ql/shared_ptr.hpp>
 
namespace QuantLib {
    class HestonProcess;
 
    //! Risk neutral terminal probability density for the Heston model
 
    /*! References:
 
        The formulas are taken from A. Dragulescu, V. Yakovenko, 2002.
        Probability distribution of returns in the Heston model
        with stochastic volatility.
        http://arxiv.org/pdf/cond-mat/0203046.pdf
     */
 
    class HestonRNDCalculator : public RiskNeutralDensityCalculator {
    public:
      explicit HestonRNDCalculator(ext::shared_ptr<HestonProcess> hestonProcess,
                                   Real integrationEps = 1e-6,
                                   Size maxIntegrationIterations = 10000UL);
 
      // x=ln(S)
      Real pdf(Real x, Time t) const override;
      Real cdf(Real x, Time t) const override;
      Real invcdf(Real q, Time t) const override;
 
    private:
        Real x_t(Real x, Time t) const;
 
        const ext::shared_ptr<HestonProcess> hestonProcess_;
        const Real x0_;
        const Real integrationEps_;
        const Size maxIntegrationIterations_;
    };
}
 
#endif