Merton76Process Class Reference
[Stochastic processes]
Merton-76 jump-diffusion process.
More...
#include <ql/processes/merton76process.hpp>
Inheritance diagram for Merton76Process:

Public Member Functions | |
| Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< Quote > &jumpInt, const Handle< Quote > &logJMean, const Handle< Quote > &logJVol, 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, Real) const |
returns the drift part of the equation, i.e. | |
| Real | diffusion (Time, Real) const |
returns the diffusion part of the equation, i.e. | |
| Real | apply (Real, Real) const |
Inspectors | |
| const Handle< Quote > & | stateVariable () const |
|
const Handle < YieldTermStructure > & | dividendYield () const |
|
const Handle < YieldTermStructure > & | riskFreeRate () const |
|
const Handle < BlackVolTermStructure > & | blackVolatility () const |
| const Handle< Quote > & | jumpIntensity () const |
| const Handle< Quote > & | logMeanJump () const |
| const Handle< Quote > & | logJumpVolatility () const |
Detailed Description
Merton-76 jump-diffusion process.
Member Function Documentation
| 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.