QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
BlackProcess Class Reference

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 > &dividendTS, 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 > &dividendTS, 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 &)
 
Observeroperator= (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 &)
 
Observableoperator= (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< discretizationdiscretization_
 
- Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretizationdiscretization_
 

Detailed Description

Black (1976) stochastic process.

This class describes the stochastic process \( S \) for a forward or futures contract given by

\[ d\ln S(t) = -\frac{\sigma(t, S)^2}{2} dt + \sigma dW_t. \]

Warning:
while the interface is expressed in terms of \( S \), the internal calculations work on \( ln S \).