SquareRootProcessRNDCalculator Class Reference

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

Inheritance diagram for SquareRootProcessRNDCalculator:

Collaboration diagram for SquareRootProcessRNDCalculator:

Public Member Functions
	SquareRootProcessRNDCalculator (Real v0, Real kappa, Real theta, Real sigma)
Real	pdf (Real v, Time t) const override
Real	cdf (Real v, Time t) const override
Real	invcdf (Real q, Time t) const override
Real	stationary_pdf (Real v) const
Real	stationary_cdf (Real v) const
Real	stationary_invcdf (Real q) const
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 Real	v0_
const Real	kappa_
const Real	theta_
const Real	d_
const Real	df_

Detailed Description

Definition at line 31 of file squarerootprocessrndcalculator.hpp.

Constructor & Destructor Documentation

SquareRootProcessRNDCalculator()

SquareRootProcessRNDCalculator	(	Real	v0,
		Real	kappa,
		Real	theta,
		Real	sigma
	)

Definition at line 28 of file squarerootprocessrndcalculator.cpp.

Member Function Documentation

pdf()

Real pdf ( Real  v, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 34 of file squarerootprocessrndcalculator.cpp.

Here is the caller graph for this function:

cdf()

Real cdf ( Real  v, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 45 of file squarerootprocessrndcalculator.cpp.

invcdf()

Real invcdf ( Real  q, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 56 of file squarerootprocessrndcalculator.cpp.

stationary_pdf()

Real stationary_pdf

(

Real

v

)

const

Definition at line 67 of file squarerootprocessrndcalculator.cpp.

stationary_cdf()

Real stationary_cdf

(

Real

v

)

const

Definition at line 75 of file squarerootprocessrndcalculator.cpp.

stationary_invcdf()

Real stationary_invcdf

(

Real

q

)

const

Definition at line 82 of file squarerootprocessrndcalculator.cpp.

Member Data Documentation

v0_

const Real v0_

private

Definition at line 45 of file squarerootprocessrndcalculator.hpp.

kappa_

const Real kappa_

private

Definition at line 45 of file squarerootprocessrndcalculator.hpp.

theta_

const Real theta_

private

Definition at line 45 of file squarerootprocessrndcalculator.hpp.

d_

const Real d_

private

Definition at line 45 of file squarerootprocessrndcalculator.hpp.

df_

const Real df_

private

Definition at line 45 of file squarerootprocessrndcalculator.hpp.