Class InvCDFHelper

Hierarchy

InvCDFHelper

Index

Constructors

constructor

Properties

Methods

inverseCDF

Constructors

constructor

new InvCDFHelper(calculator: RiskNeutralDensityCalculator, guess: Real, accuracy: Real, maxEvaluations: Size): InvCDFHelper

- Defined in ql/experimental/finitedifferences/riskneutraldensitycalculator.ts:23
Parameters
- calculator: RiskNeutralDensityCalculator
- guess: Real
- accuracy: Real
- maxEvaluations: Size
Returns InvCDFHelper

Properties

Private _accuracy

_accuracy: Real

Private _calculator

_calculator: RiskNeutralDensityCalculator

Private _guess

_guess: Real

Private _maxEvaluations

_maxEvaluations: Size

Methods

inverseCDF

inverseCDF(p: Real, t: Time): Real

- Defined in ql/experimental/finitedifferences/riskneutraldensitycalculator.ts:33
Parameters
- p: Real
- t: Time
Returns Real