QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
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HestonRNDCalculator Class Reference

Risk neutral terminal probability density for the Heston model. More...

#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.pdf