BlackScholesProcess Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for BlackScholesProcess:

Inheritance graph
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List of all members.

Detailed Description

Black-Scholes stochastic process.

This class describes the stochastic process governed by

\[ dS(t, S)=(r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. \]


Public Member Functions

 BlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< StochasticProcess::discretization > &d=boost::shared_ptr< StochasticProcess::discretization >(new EulerDiscretization))
StochasticProcess 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 evolve (Real change, Real currentValue) 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

Real drift Time  t,
Real  x
const [virtual]
 

Todo:
revise extrapolation

Implements StochasticProcess.

Reimplemented in Merton76Process.

Real diffusion Time  t,
Real  x
const [virtual]
 

Todo:
revise extrapolation

Implements StochasticProcess.

Reimplemented in Merton76Process.

Real evolve Real  change,
Real  currentValue
const [virtual]
 

applies a change to the asset value. By default; it returns $ x + \Delta x $.

Reimplemented from StochasticProcess.

Reimplemented in Merton76Process.

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.


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