Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

QuantLib::BlackScholesMertonProcess Class Reference

#include <blackscholesprocess.hpp>

Inheritance diagram for QuantLib::BlackScholesMertonProcess:

QuantLib::GeneralizedBlackScholesProcess QuantLib::StochasticProcess1D QuantLib::StochasticProcess QuantLib::Observer QuantLib::Observable

List of all members.


Detailed Description

Merton (1973) extension to the Black-Scholes stochastic process.

This class describes the stochastic process for a stock or stock index paying a continuous dividend yield given by

\[ dS(t, S) = (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. \]

Definition at line 114 of file blackscholesprocess.hpp.


Public Member Functions

 BlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))
void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
Time time (const Date &) const
void unregisterWith (const boost::shared_ptr< Observable > &)
StochasticProcess1D interface
Real apply (Real x0, Real dx) const
Real diffusion (Time t, Real x) const
Real drift (Time t, Real x) const
Real x0 () const
 returns the initial value of the state variable
Inspectors
const Handle
< BlackVolTermStructure > & 
blackVolatility () const
const Handle
< YieldTermStructure > & 
dividendYield () const
const Handle
< LocalVolTermStructure > & 
localVolatility () const
const Handle
< YieldTermStructure > & 
riskFreeRate () const
const Handle< Quote > & stateVariable () const
1-D stochastic process interface
virtual Real evolve (Time t0, Real x0, Time dt, Real dw) const
virtual Real expectation (Time t0, Real x0, Time dt) const
virtual Real stdDeviation (Time t0, Real x0, Time dt) const
virtual Real variance (Time t0, Real x0, Time dt) const
Stochastic process interface
virtual Size factors () const
 returns the number of independent factors of the process
Observer interface
void update ()

Protected Attributes

boost::shared_ptr< discretizationdiscretization_

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

Generated by  Doxygen 1.6.0   Back to index