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QuantLib::Merton76Process Class Reference

#include <merton76process.hpp>

Inheritance diagram for QuantLib::Merton76Process:

QuantLib::StochasticProcess QuantLib::Observer QuantLib::Observable

List of all members.


Detailed Description

Merton-76 jump-diffusion process.

Definition at line 34 of file merton76process.hpp.


Public Member Functions

 Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< Quote > &jumpInt, const Handle< Quote > &logJMean, const Handle< Quote > &logJVol, const boost::shared_ptr< StochasticProcess::discretization > &d=boost::shared_ptr< StochasticProcess::discretization >(new EulerDiscretization))
void notifyObservers ()
template<class T>
void registerWith (const boost::shared_ptr< T > &h)
Time time (const Date &) const
template<class T>
void unregisterWith (const boost::shared_ptr< T > &h)
Inspectors
const boost::shared_ptr
< BlackVolTermStructure > & 
blackVolatility () const
const boost::shared_ptr
< YieldTermStructure > & 
dividendYield () const
const boost::shared_ptr< Quote > & jumpIntensity () const
const boost::shared_ptr< Quote > & logJumpVolatility () const
const boost::shared_ptr< Quote > & logMeanJump () const
const boost::shared_ptr
< YieldTermStructure > & 
riskFreeRate () const
const boost::shared_ptr< Quote > & stateVariable () const
StochasticProcess interface
Real diffusion (Time, Real) const
 returns the diffusion part of the equation, i.e. $ \sigma(t, x_t) $
Real drift (Time, Real) const
 returns the drift part of the equation, i.e. $ \mu(t, x_t) $
Real evolve (Real change, Real currentValue) const
Real x0 () const
 returns the initial value of the state variable
Stochastic process interface
virtual Real expectation (Time t0, Real x0, Time dt) const
virtual Real variance (Time t0, Real x0, Time dt) const
Observer interface
void update ()

Protected Attributes

boost::shared_ptr< discretizationdiscretization_

Private Attributes

boost::shared_ptr
< BlackScholesProcess
blackProcess_
Handle< QuotejumpIntensity_
Handle< QuotelogJumpVolatility_
Handle< QuotelogMeanJump_

The documentation for this class was generated from the following files:

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