Merton76Process Class Reference#include <ql/stochasticprocess.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< StochasticProcess::discretization > &d=boost::shared_ptr< StochasticProcess::discretization >(new EulerDiscretization)) |
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Real | drift (Time, Real) const |
Real | diffusion (Time, Real) const |
Real | evolve (Real change, Real currentValue) const |
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const boost::shared_ptr< Quote > & | jumpIntensity () const |
const boost::shared_ptr< Quote > & | logMeanJump () const |
const boost::shared_ptr< Quote > & | logJumpVolatility () const |
Member Function Documentation
Real evolve |
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Real |
change, |
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Real |
currentValue |
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const [virtual] |
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applies a change to the asset value. By default; it returns .
Reimplemented from BlackScholesProcess. |
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