GeneralizedBlackScholesProcess Class Reference
[Stochastic processes]
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 |
Detailed Description
Generalized Black-Scholes stochastic process.This class describes the stochastic process governed by
Member Function Documentation
Real drift | ( | Time | t, | |
Real | x | |||
) | const [virtual] |
- Possible enhancements:
- revise extrapolation
Implements StochasticProcess1D.
Reimplemented in ExtendedBlackScholesMertonProcess.
Real diffusion | ( | Time | t, | |
Real | x | |||
) | const [virtual] |
- Possible enhancements:
- revise extrapolation
Implements StochasticProcess1D.
Reimplemented in ExtendedBlackScholesMertonProcess.
Real apply | ( | Real | x0, | |
Real | dx | |||
) | const [virtual] |
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess1D.
Real expectation | ( | Time | t0, | |
Real | x0, | |||
Time | dt | |||
) | const [virtual] |
- Warning:
- raises a "not implemented" exception. It should be rewritten to return the expectation E(S) of the process, not exp(E(log S)).
Reimplemented from StochasticProcess1D.
Real evolve | ( | Time | t0, | |
Real | x0, | |||
Time | dt, | |||
Real | dw | |||
) | const [virtual] |
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.
Reimplemented in ExtendedBlackScholesMertonProcess.
Time time | ( | const Date & | ) | const [virtual] |
returns the time value corresponding to the given date in the reference system of the stochastic process.
- Note:
- As a number of processes might not need this functionality, a default implementation is given which raises an exception.
Reimplemented from StochasticProcess.
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from StochasticProcess.