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

Detailed Description
Generalized Black-Scholes stochastic process.This class describes the stochastic process governed by
Public Member Functions | |
GeneralizedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) | |
Time | time (const Date &) const |
StochasticProcess1D 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 | apply (Real x0, Real dx) const |
Observer interface | |
void | update () |
Inspectors | |
const Handle< Quote > & | stateVariable () const |
const Handle< YieldTermStructure > & | dividendYield () const |
const Handle< YieldTermStructure > & | riskFreeRate () const |
const Handle< BlackVolTermStructure > & | blackVolatility () const |
const Handle< LocalVolTermStructure > & | localVolatility () const |
Member Function Documentation
Real drift | ( | Time | t, | |
Real | x | |||
) | const [virtual] |
Real diffusion | ( | Time | t, | |
Real | x | |||
) | const [virtual] |
Real apply | ( | Real | x0, | |
Real | dx | |||
) | const [virtual] |
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess1D.
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.
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.