BlackProcess Class Reference
[Stochastic processes]
#include <ql/processes/blackscholesprocess.hpp>
Inheritance diagram for BlackProcess:

Detailed Description
Black (1976) stochastic process.This class describes the stochastic process for a forward or futures contract given by
Public Member Functions | |
BlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) |