jumpIntensity (3) - Linux Manuals

jumpIntensity: Merton-76 jump-diffusion process.

NAME

QuantLib::Merton76Process - Merton-76 jump-diffusion process.

SYNOPSIS

#include <ql/processes/merton76process.hpp>

Inherits QuantLib::StochasticProcess1D.

Public Member Functions

Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, 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. $ mu(t, x_t) $
Real diffusion (Time, Real) const
returns the diffusion part of the equation, i.e. $ igma(t, x_t) $
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 $ x + Delta x $.

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.

Author

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