CEVRNDCalculator Class Reference

constant elasticity of variance process (absorbing boundary at f=0) More...

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

Inheritance diagram for CEVRNDCalculator:

Collaboration diagram for CEVRNDCalculator:

Public Member Functions
	CEVRNDCalculator (Real f0, Real alpha, Real beta)
Real	massAtZero (Time t) const
Real	pdf (Real f, Time t) const override
Real	cdf (Real f, 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
Real	X (Real f) const
Real	invX (Real f) const
Real	sankaranApprox (Real f, Time t, Real x) const

Private Attributes
const Real	f0_
const Real	alpha_
const Real	beta_
const Real	delta_
const Real	x0_

Detailed Description

constant elasticity of variance process (absorbing boundary at f=0)

\[ df_t = \alpha f_t^\beta \mathrm{d}W_t \]

References:

D.R. Brecher, A.E. Lindsay, Results on the CEV Process, Past and Present https://www.fincad.com/sites/default/files/wysiwyg/Resources-Wiki/cev-process-working-paper.pdf

Definition at line 43 of file cevrndcalculator.hpp.

Constructor & Destructor Documentation

CEVRNDCalculator()

CEVRNDCalculator	(	Real	f0,
		Real	alpha,
		Real	beta
	)

Definition at line 32 of file cevrndcalculator.cpp.

Member Function Documentation

massAtZero()

Real massAtZero

(

Time

t

)

const

Definition at line 41 of file cevrndcalculator.cpp.

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pdf()

Real pdf ( Real  f, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 57 of file cevrndcalculator.cpp.

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cdf()

Real cdf ( Real  f, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 72 of file cevrndcalculator.cpp.

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invcdf()

Real invcdf ( Real  q, Time  t  ) const

overridevirtual

Implements RiskNeutralDensityCalculator.

Definition at line 101 of file cevrndcalculator.cpp.

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X()

Real X ( Real  f ) const

private

Definition at line 48 of file cevrndcalculator.cpp.

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invX()

Real invX ( Real  f ) const

private

Definition at line 52 of file cevrndcalculator.cpp.

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sankaranApprox()

Real sankaranApprox ( Real  f, Time  t, Real  x  ) const

private

Definition at line 85 of file cevrndcalculator.cpp.

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Member Data Documentation

f0_

const Real f0_

private

Definition at line 58 of file cevrndcalculator.hpp.

alpha_

const Real alpha_

private

Definition at line 58 of file cevrndcalculator.hpp.

beta_

const Real beta_

private

Definition at line 58 of file cevrndcalculator.hpp.

delta_

const Real delta_

private

Definition at line 58 of file cevrndcalculator.hpp.

x0_

const Real x0_

private

Definition at line 58 of file cevrndcalculator.hpp.