Class BSMRNDCalculator

Hierarchy

RiskNeutralDensityCalculator
- BSMRNDCalculator

Index

Classes

InvCDFHelper

Constructors

constructor

Properties

_process

Methods

Constructors

constructor

new BSMRNDCalculator(process: GeneralizedBlackScholesProcess): BSMRNDCalculator

- Defined in ql/experimental/finitedifferences/bsmrndcalculator.ts:12
Parameters
- process: GeneralizedBlackScholesProcess
Returns BSMRNDCalculator

Properties

Private _process

_process: GeneralizedBlackScholesProcess

Methods

cdf

cdf(x: Real, t: Time): Real

Overrides RiskNeutralDensityCalculator.cdf
- Defined in ql/experimental/finitedifferences/bsmrndcalculator.ts:23
Parameters
- x: Real
- t: Time
Returns Real

Private distributionParams

distributionParams(x: Real, t: Time): [Real, Volatility]

- Defined in ql/experimental/finitedifferences/bsmrndcalculator.ts:33
Parameters
- x: Real
- t: Time
Returns [Real, Volatility]

invcdf

invcdf(x: Real, t: Time): Real

Overrides RiskNeutralDensityCalculator.invcdf
- Defined in ql/experimental/finitedifferences/bsmrndcalculator.ts:28
Parameters
- x: Real
- t: Time
Returns Real

pdf

pdf(x: Real, t: Time): Real

Overrides RiskNeutralDensityCalculator.pdf
- Defined in ql/experimental/finitedifferences/bsmrndcalculator.ts:18
Parameters
- x: Real
- t: Time
Returns Real