Generalized Black-Scholes stochastic process. More...
#include <ql/processes/blackscholesprocess.hpp>
Public Member Functions | |
GeneralizedBlackScholesProcess (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)) | |
Time | time (const Date &) const |
StochasticProcess1D interface | |
Real | x0 () const |
returns the initial value of the state variable | |
Real | drift (Time t, Real x) const |
Real | diffusion (Time t, Real x) const |
Real | apply (Real x0, Real dx) const |
Real | expectation (Time t0, Real x0, Time dt) const |
Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
Observer interface | |
void | update () |
Inspectors | |
const Handle< Quote > & | stateVariable () const |
const Handle < YieldTermStructure > & | dividendYield () const |
const Handle < YieldTermStructure > & | riskFreeRate () const |
const Handle < BlackVolTermStructure > & | blackVolatility () const |
const Handle < LocalVolTermStructure > & | localVolatility () const |
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virtual Real | stdDeviation (Time t0, Real x0, Time dt) const |
virtual Real | variance (Time t0, Real x0, Time dt) const |
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virtual Size | factors () const |
returns the number of independent factors of the process | |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Additional Inherited Members | |
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StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
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StochasticProcess (const boost::shared_ptr< discretization > &) | |
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boost::shared_ptr< discretization > | discretization_ |
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boost::shared_ptr< discretization > | discretization_ |
Generalized Black-Scholes stochastic process.
This class describes the stochastic process governed by
Implements StochasticProcess1D.
Implements StochasticProcess1D.
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess1D.
Reimplemented from StochasticProcess1D.
returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and
the standard deviation.
Reimplemented from StochasticProcess1D.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.