26#ifndef quantlib_heston_risk_neutral_density_calculator_hpp
27#define quantlib_heston_risk_neutral_density_calculator_hpp
29#include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>
30#include <ql/shared_ptr.hpp>
48 Real integrationEps = 1e-6,
49 Size maxIntegrationIterations = 10000UL);
Risk neutral terminal probability density for the Heston model.
Real x_t(Real x, Time t) const
const Real integrationEps_
Real invcdf(Real q, Time t) const override
Real pdf(Real x, Time t) const override
Real cdf(Real x, Time t) const override
const Size maxIntegrationIterations_
const ext::shared_ptr< HestonProcess > hestonProcess_
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container