BlackScholesProcess Class Reference
#include <ql/Processes/blackscholesprocess.hpp>
Inheritance diagram for BlackScholesProcess:

Detailed Description
Black-Scholes stochastic process.This class describes the stochastic process governed by
- Examples:
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ConvertibleBonds.cpp, DiscreteHedging.cpp, and EquityOption.cpp.
Public Member Functions | |
BlackScholesProcess (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 |
Observer interface | |
void | update () |
Inspectors | |
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< LocalVolTermStructure > & | localVolatility () const |
Member Function Documentation
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Implements StochasticProcess1D. |
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Implements StochasticProcess1D. |
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applies a change to the asset value. By default, it returns Reimplemented from StochasticProcess1D. |
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returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess. |
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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. |