Merton76Process Class Reference#include <ql/Processes/merton76process.hpp>
Inheritance diagram for Merton76Process:
[legend]List of all members.
Detailed Description
Merton-76 jump-diffusion process.
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Public Member Functions |
| Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< Quote > &jumpInt, const Handle< Quote > &logJMean, const Handle< Quote > &logJVol, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) |
Time | time (const Date &) const |
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Real | x0 () const |
| returns the initial value of the state variable
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Real | drift (Time, Real) const |
| returns the drift part of the equation, i.e.
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Real | diffusion (Time, Real) const |
| returns the diffusion part of the equation, i.e.
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Real | apply (Real x0, Real dx) const |
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const boost::shared_ptr< Quote > & | stateVariable () const |
const boost::shared_ptr< YieldTermStructure > & | dividendYield () const |
const boost::shared_ptr< YieldTermStructure > & | riskFreeRate () const |
const boost::shared_ptr< BlackVolTermStructure > & | blackVolatility () const |
const boost::shared_ptr< Quote > & | jumpIntensity () const |
const boost::shared_ptr< Quote > & | logMeanJump () const |
const boost::shared_ptr< Quote > & | logJumpVolatility () const |
Member Function Documentation
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applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess1D. |
Time time |
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const Date & |
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const [virtual] |
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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. |
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