- QuantLib
- Merton76Process
Merton-76 jump-diffusion process. More...
#include <ql/processes/merton76process.hpp>

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 |
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const Handle < BlackVolTermStructure > & | blackVolatility () const |
| const Handle< Quote > & | jumpIntensity () const |
| const Handle< Quote > & | logMeanJump () const |
| const Handle< Quote > & | logJumpVolatility () const |
Merton-76 jump-diffusion process.
applies a change to the asset value. By default, it returns
.
Reimplemented from StochasticProcess1D.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.