text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2015 Johannes Göttker-Schnetmann
   Copyright (C) 2015 Klaus Spanderen
  
   This file is part of QuantLib, a free-software/open-source library
   for financial quantitative analysts and developers - http://quantlib.org/
  
   QuantLib is free software: you can redistribute it and/or modify it
   under the terms of the QuantLib license.  You should have received a
   copy of the license along with this program; if not, please email
   <quantlib-dev@lists.sf.net>. The license is also available online at
   <http://quantlib.org/license.shtml>.
  
   This program is distributed in the hope that it will be useful, but WITHOUT
   ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
   FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
  
  /*! \file bsmrndcalculator.hpp
      \brief risk neutral terminal density calculator for the
             Black-Scholes-Merton model with constant volatility
  */
  
  #include <ql/math/distributions/normaldistribution.hpp>
  #include <ql/methods/finitedifferences/utilities/bsmrndcalculator.hpp>
  #include <ql/processes/blackscholesprocess.hpp>
  #include <cmath>
  #include <utility>
  
  namespace QuantLib {
  
      BSMRNDCalculator::BSMRNDCalculator(ext::shared_ptr<GeneralizedBlackScholesProcess> process)
      : process_(std::move(process)) {}
  
      std::pair<Real, Volatility>
      BSMRNDCalculator::distributionParams(Real x, Time t) const {
          const Volatility stdDev =
              process_->blackVolatility()->blackVol(t, std::exp(x))*std::sqrt(t);
          const Real mean = std::log(process_->x0()) - 0.5*stdDev*stdDev
              + std::log(  process_->dividendYield()->discount(t)
                         / process_->riskFreeRate()->discount(t));
  
          return std::make_pair(mean, stdDev);
      }
  
      Real BSMRNDCalculator::pdf(Real x, Time t) const {
          std::pair<Real, Volatility> p = distributionParams(x, t);
          return NormalDistribution(p.first, p.second)(x);
      }
  
      Real BSMRNDCalculator::cdf(Real x, Time t) const {
          std::pair<Real, Volatility> p = distributionParams(x, t);
          return CumulativeNormalDistribution(p.first, p.second)(x);
      }
  
      Real BSMRNDCalculator::invcdf(Real x, Time t) const {
          std::pair<Real, Volatility> p = distributionParams(x, t);
          return InvCumulativeNormalDistribution(p.first, p.second)(x);
      }
  }
  