Black (1976) stochastic process. More...
#include <ql/processes/blackscholesprocess.hpp>
Inheritance diagram for BlackProcess:Public Member Functions | |
| BlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization), bool forceDiscretization=false) | |
Public Member Functions inherited from GeneralizedBlackScholesProcess | |
| GeneralizedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization), bool forceDiscretization=false) | |
| GeneralizedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< LocalVolTermStructure > &localVolTS) | |
| 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 | stdDeviation (Time t0, Real x0, Time dt) const |
| Real | variance (Time t0, Real x0, Time dt) const |
| Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
| Time | time (const Date &) const |
| void | update () |
| 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 |
Public Member Functions inherited from StochasticProcess1D | |
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 () |
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_ |
Black (1976) stochastic process.
This class describes the stochastic process \( S \) for a forward or futures contract given by
\[ d\ln S(t) = -\frac{\sigma(t, S)^2}{2} dt + \sigma dW_t. \]