GeneralizedBlackScholesProcess Class Reference
Generalized Black-Scholes stochastic process. More...
#include <ql/processes/blackscholesprocess.hpp>

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 |
Real | expectation (Time t0, Real x0, Time dt) const |
Real | evolve (Time t0, Real x0, Time dt, Real dw) 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 |
Detailed Description
Generalized Black-Scholes stochastic process.
This class describes the stochastic process governed by
Member Function Documentation
- Possible enhancements:
- revise extrapolation
Implements StochasticProcess1D.
Reimplemented in ExtendedBlackScholesMertonProcess.
- Possible enhancements:
- revise extrapolation
Implements StochasticProcess1D.
Reimplemented in ExtendedBlackScholesMertonProcess, and VegaStressedBlackScholesProcess.
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess1D.
- Warning:
- raises a "not implemented" exception. It should be rewritten to return the expectation E(S) of the process, not exp(E(log S)).
Reimplemented from StochasticProcess1D.
returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and
the standard deviation.
Reimplemented from StochasticProcess1D.
Reimplemented in ExtendedBlackScholesMertonProcess.
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.