Class SquareRootProcessRNDCalculator

Hierarchy

RiskNeutralDensityCalculator
- SquareRootProcessRNDCalculator

Index

Classes

InvCDFHelper

Constructors

constructor

Properties

Methods

Constructors

constructor

new SquareRootProcessRNDCalculator(v0: Real, kappa: Real, theta: Real, sigma: Real): SquareRootProcessRNDCalculator

- Defined in ql/experimental/finitedifferences/squarerootprocessrndcalculator.ts:10
Parameters
- v0: Real
- kappa: Real
- theta: Real
- sigma: Real
Returns SquareRootProcessRNDCalculator

Properties

Private _d

_d: Real

Private _df

_df: Real

Private _kappa

_kappa: Real

Private _theta

_theta: Real

Private _v0

_v0: Real

Methods

cdf

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

Overrides RiskNeutralDensityCalculator.cdf
- Defined in ql/experimental/finitedifferences/squarerootprocessrndcalculator.ts:32
Parameters
- v: Real
- t: Time
Returns Real

invcdf

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

Overrides RiskNeutralDensityCalculator.invcdf
- Defined in ql/experimental/finitedifferences/squarerootprocessrndcalculator.ts:44
Parameters
- q: Real
- t: Time
Returns Real

pdf

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

Overrides RiskNeutralDensityCalculator.pdf
- Defined in ql/experimental/finitedifferences/squarerootprocessrndcalculator.ts:20
Parameters
- v: Real
- t: Time
Returns Real

stationary_cdf

stationary_cdf(v: Real): Real

- Defined in ql/experimental/finitedifferences/squarerootprocessrndcalculator.ts:65
Parameters
- v: Real
Returns Real

stationary_invcdf

stationary_invcdf(q: Real): Real

- Defined in ql/experimental/finitedifferences/squarerootprocessrndcalculator.ts:73
Parameters
- q: Real
Returns Real

stationary_pdf

stationary_pdf(v: Real): Real

- Defined in ql/experimental/finitedifferences/squarerootprocessrndcalculator.ts:56
Parameters
- v: Real
Returns Real