Class BSMRNDCalculator
The risk-neutral density of the logarithm of the underlying in the Black-Scholes-Merton model with constant volatility: normal, its mean the log forward less half the variance, its variance the Black variance.
public sealed class BSMRNDCalculator : RiskNeutralDensityCalculator- Inheritance
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BSMRNDCalculator
- Inherited Members
Remarks
Immutable. Its argument x is ln(S) and its times are the process's, the risk-free curve's. The volatility is the model's constant one, read at the strike e^x; the inverse reads it at e^p, the probability as QuantLib passes it, which a constant volatility doesn't see.
The dividend curve and the volatility are read at the instant a time denotes, each on its own clock, the variance accrued from the risk-free curve's reference date, where QuantLib reads them at the risk-free curve's time (the mismatched-dates class); structures that share the curve's times keep QuantLib's bits. A documented divergence.
Constructors
BSMRNDCalculator(GeneralizedBlackScholesProcess)
Initializes a new instance of the BSMRNDCalculator class.
public BSMRNDCalculator(GeneralizedBlackScholesProcess process)Parameters
processGeneralizedBlackScholesProcessThe Black-Scholes process.
Exceptions
- ArgumentNullException
processis null.
Methods
Cdf(double, double)
The distribution function of ln(S) at a time.
public override double Cdf(double x, double t)Parameters
Returns
- double
The probability.
Exceptions
- NanoQLException
A structure can't be read at the time.
InvCdf(double, double)
The inverse of the distribution function at a time.
public override double InvCdf(double p, double t)Parameters
Returns
- double
The logarithm of the underlying.
Exceptions
- NanoQLException
A structure can't be read at the time.
Pdf(double, double)
The density of ln(S) at a time.
public override double Pdf(double x, double t)Parameters
Returns
- double
The density.
Exceptions
- NanoQLException
A structure can't be read at the time.