Merton76Process Class Reference

#include <ql/Processes/merton76process.hpp>

Inheritance diagram for Merton76Process:

Inheritance graph
[legend]
List of all members.

Detailed Description

Merton-76 jump-diffusion process.


Public Member Functions

 Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, 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))
Time time (const Date &) const
StochasticProcess 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. $ \mu(t, x_t) $
Real diffusion (Time, Real) const
 returns the diffusion part of the equation, i.e. $ \sigma(t, x_t) $
Real evolve (Real change, Real currentValue) 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

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.

Time time const Date  )  const [virtual]
 

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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