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 hestonrndcalculator.hpp
22     \brief risk neutral terminal density calculator for the
23            Heston stochastic volatility model
24 */
25 
26 #ifndef quantlib_heston_risk_neutral_density_calculator_hpp
27 #define quantlib_heston_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 HestonProcess;
34 
35     //! Risk neutral terminal probability density for the Heston model
36 
37     /*! References:
38 
39         The formulas are taken from A. Dragulescu, V. Yakovenko, 2002.
40         Probability distribution of returns in the Heston model
41         with stochastic volatility.
42         http://arxiv.org/pdf/cond-mat/0203046.pdf
43      */
44 
45     class HestonRNDCalculator : public RiskNeutralDensityCalculator {
46     public:
47       explicit HestonRNDCalculator(const ext::shared_ptr<HestonProcess>& hestonProcess,
48                                    Real integrationEps = 1e-6,
49                                    Size maxIntegrationIterations = 10000UL);
50 
51       // x=ln(S)
52       Real pdf(Real x, Time t) const;
53       Real cdf(Real x, Time t) const;
54       Real invcdf(Real q, Time t) const;
55 
56     private:
57         Real x_t(Real x, Time t) const;
58 
59         const ext::shared_ptr<HestonProcess> hestonProcess_;
60         const Real x0_;
61         const Real integrationEps_;
62         const Size maxIntegrationIterations_;
63     };
64 }
65 
66 #endif
67