QuantLib::BlackScholesMertonProcess Class Reference
#include <blackscholesprocess.hpp>
Inheritance diagram for QuantLib::BlackScholesMertonProcess:
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
![\[ dS(t, S) = (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. \]](form_292.png)
Definition at line 114 of file blackscholesprocess.hpp.
Public Member Functions | |
| BlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, 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 | |
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const Handle < BlackVolTermStructure > & | blackVolatility () const |
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const Handle < YieldTermStructure > & | dividendYield () const |
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const Handle < LocalVolTermStructure > & | localVolatility () const |
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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< discretization > | discretization_ |
The documentation for this class was generated from the following files:
- QuantLib-0.9.7/ql/processes/blackscholesprocess.hpp
- QuantLib-0.9.7/ql/processes/blackscholesprocess.cpp