QuantLib_HestonRNDCalculator man page

HestonRNDCalculator — Risk neutral terminal probability density for the Heston model.

Synopsis

#include <ql/experimental/finitedifferences/hestonrndcalculator.hpp>

Inherits RiskNeutralDensityCalculator.

Public Member Functions

HestonRNDCalculator (const boost::shared_ptr< HestonProcess > &hestonProcess, Real integrationEps=1e-6, Size maxIntegrationIterations=10000ul)

Real pdf (Real x, Time t) const

Real cdf (Real x, Time t) const

Real invcdf (Real q, Time t) const

Detailed Description

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.p…

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

HestonRNDCalculator(3) and invcdf(3) are aliases of QuantLib_HestonRNDCalculator(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib