Class GBSMRNDCalculator

Hierarchy

RiskNeutralDensityCalculator
- GBSMRNDCalculator

Index

Classes

InvCDFHelper

Constructors

constructor

Properties

_process

Methods

Constructors

constructor

new GBSMRNDCalculator(process: GeneralizedBlackScholesProcess): GBSMRNDCalculator

- Defined in ql/experimental/finitedifferences/gbsmrndcalculator.ts:16
Parameters
- process: GeneralizedBlackScholesProcess
Returns GBSMRNDCalculator

Properties

Private _process

_process: GeneralizedBlackScholesProcess

Methods

cdf

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

Overrides RiskNeutralDensityCalculator.cdf
- Defined in ql/experimental/finitedifferences/gbsmrndcalculator.ts:28
Parameters
- k: Real
- t: Time
Returns Real

invcdf

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

Overrides RiskNeutralDensityCalculator.invcdf
- Defined in ql/experimental/finitedifferences/gbsmrndcalculator.ts:61
Parameters
- q: Real
- t: Time
Returns Real

pdf

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

Overrides RiskNeutralDensityCalculator.pdf
- Defined in ql/experimental/finitedifferences/gbsmrndcalculator.ts:22
Parameters
- k: Real
- t: Time
Returns Real