KienitzLawsonSwayneSabrPdeDensity Class Reference

Public Member Functions
	KienitzLawsonSwayneSabrPdeDensity (const Real alpha, const Real beta, const Real nu, const Real rho, const Real forward, const Real expiryTime, const Real displacement, const Size zSteps, const Size tSteps, const Real nStdDev)
Real	alpha () const
Real	beta () const
Real	nu () const
Real	rho () const
Real	forward () const
Real	expiryTime () const
Real	displacement () const
Size	zSteps () const
Size	tSteps () const
Real	nStdDev () const
std::vector< Real >	callPrices (const std::vector< Real > &strikes) const
std::vector< Real >	putPrices (const std::vector< Real > &strikes) const
Real	inverseCumulative (const Real p) const
const Array &	sabrProb () const
Real	zMin () const
Real	zMax () const
Real	hh () const
Real	pL () const
Real	pR () const
Real	theta0 () const
Real	yf (const Real f) const
Real	fy (const Real y) const
Real	yz (const Real z) const
Real	zy (const Real y) const