Merton76Process Class Reference
#include <ql/Processes/merton76process.hpp>
Inheritance diagram for Merton76Process:

Detailed Description
Merton-76 jump-diffusion process.
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 |
StochasticProcess1D interface | |
Real | x0 () const |
returns the initial value of the state variable | |
Real | drift (Time, Real) const |
returns the drift part of the equation, i.e. ![]() | |
Real | diffusion (Time, Real) const |
returns the diffusion part of the equation, i.e. ![]() | |
Real | apply (Real x0, Real dx) const |
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< 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. |
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returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess. |