1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2015 Johannes Göttker-Schnetmann
5  Copyright (C) 2015 Klaus Spanderen
6 
7  This file is part of QuantLib, a free-software/open-source library
8  for financial quantitative analysts and developers - http://quantlib.org/
9 
10  QuantLib is free software: you can redistribute it and/or modify it
11  under the terms of the QuantLib license.  You should have received a
12  copy of the license along with this program; if not, please email
13  <quantlib-dev@lists.sf.net>. The license is also available online at
14  <http://quantlib.org/license.shtml>.
15 
16  This program is distributed in the hope that it will be useful, but WITHOUT
17  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18  FOR A PARTICULAR PURPOSE.  See the license for more details.
19 */
20 
21 /*! \file bsmrndcalculator.hpp
22     \brief risk neutral terminal density calculator for the
23            Black-Scholes-Merton model with constant volatility
24 */
25 
26 #ifndef quantlib_bsm_risk_neutral_density_calculator_hpp
27 #define quantlib_bsm_risk_neutral_density_calculator_hpp
28 
29 #include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>
30 #include <ql/shared_ptr.hpp>
31 
32 namespace QuantLib {
33     class GeneralizedBlackScholesProcess;
34 
35     class BSMRNDCalculator : public RiskNeutralDensityCalculator {
36     public:
37         explicit BSMRNDCalculator(
38             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
39 
40         // x = ln(S)
41         Real pdf(Real x, Time t) const;
42         Real cdf(Real x, Time t) const;
43         Real invcdf(Real q, Time t) const;
44 
45     private:
46         std::pair<Real, Volatility> distributionParams(Real x, Time t) const;
47 
48         const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
49     };
50 }
51 
52 #endif
53