Class RiskNeutralDensityCalculator

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

The interface of a single asset's risk-neutral terminal density: its density, its cumulative distribution and the distribution's inverse at a time.

public abstract class RiskNeutralDensityCalculator

Inheritance

object

RiskNeutralDensityCalculator

Derived

BSMRNDCalculator

CEVRNDCalculator

GBSMRNDCalculator

HestonRNDCalculator

LocalVolRNDCalculator

SmileSectionRNDCalculator

SquareRootProcessRNDCalculator

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Unsealed and abstract, as QuantLib's base: each density's calculator derives it. QuantLib's protected InvCDFHelper, the inverse by Brent's method on the cumulative distribution, is internal here, for the library's own calculators.

Constructors

RiskNeutralDensityCalculator()

protected RiskNeutralDensityCalculator()

Methods

Cdf(double, double)

The probability of a value below x.

public abstract double Cdf(double x, double t)

Parameters

x double

The asset's value.

t double

The time.

Returns

double

The cumulative probability.

InvCdf(double, double)

The value below which the probability is p.

public abstract double InvCdf(double p, double t)

Parameters

p double

The probability.

t double

The time.

Returns

double

The value.

Pdf(double, double)

The density at x.

public abstract double Pdf(double x, double t)

Parameters

x double

The asset's value.

t double

The time.

Returns

double

The density.