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 ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization)) | |
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. \( \mu(t, x_t) \) | |
| Real | diffusion (Time, Real) const |
| returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) | |
| Real | apply (Real, Real) const |
| Time | time (const Date &) const |
Public Member Functions inherited from StochasticProcess1D | |
| virtual Real | expectation (Time t0, Real x0, Time dt) const |
| virtual Real | stdDeviation (Time t0, Real x0, Time dt) const |
| virtual Real | variance (Time t0, Real x0, Time dt) const |
| virtual Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
Public Member Functions inherited from StochasticProcess | |
| virtual Size | factors () const |
| returns the number of independent factors of the process | |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
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 |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from StochasticProcess1D | |
| StochasticProcess1D () | |
| StochasticProcess1D (const ext::shared_ptr< discretization > &) | |
Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess () | |
| StochasticProcess (const ext::shared_ptr< discretization > &) | |
Protected Attributes inherited from StochasticProcess1D | |
| ext::shared_ptr< discretization > | discretization_ |
Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
Merton-76 jump-diffusion process.
applies a change to the asset value. By default, it returns \( x + \Delta x \).
Reimplemented from StochasticProcess1D.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.