BSMRNDCalculator Class Reference

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

Inheritance diagram for BSMRNDCalculator:

Collaboration diagram for BSMRNDCalculator:

Public Member Functions
	BSMRNDCalculator (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
Real	pdf (Real x, Time t) const override
Real	cdf (Real x, 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 Member Functions
std::pair< Real, Volatility >	distributionParams (Real x, Time t) const

Private Attributes
const ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Detailed Description

Definition at line 35 of file bsmrndcalculator.hpp.

Constructor & Destructor Documentation

BSMRNDCalculator()

BSMRNDCalculator ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 34 of file bsmrndcalculator.cpp.

Member Function Documentation

pdf()

Real pdf ( Real  x, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 48 of file bsmrndcalculator.cpp.

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cdf()

Real cdf ( Real  x, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 53 of file bsmrndcalculator.cpp.

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invcdf()

Real invcdf ( Real  q, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 58 of file bsmrndcalculator.cpp.

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distributionParams()

std::pair< Real, Volatility > distributionParams ( Real  x, Time  t  ) const

private

Definition at line 38 of file bsmrndcalculator.cpp.

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Member Data Documentation

process_

const ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 47 of file bsmrndcalculator.hpp.