GarmanKohlagenProcess Class Reference
[Stochastic processes]

#include <ql/processes/blackscholesprocess.hpp>

Inheritance diagram for GarmanKohlagenProcess:

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List of all members.

Detailed Description

Garman-Kohlhagen (1983) stochastic process.

This class describes the stochastic process for an exchange rate given by

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


Public Member Functions

 GarmanKohlagenProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< YieldTermStructure > &domesticRiskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))