Variance gamma process. More...
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
Public Member Functions | |
VarianceGammaProcess (const Handle< Quote > &s0, const Handle< YieldTermStructure > ÷ndYield, const Handle< YieldTermStructure > &riskFreeRate, Real sigma, Real nu, Real theta) | |
Real | x0 () const |
returns the initial value of the state variable | |
Real | drift (Time t, Real x) const |
returns the drift part of the equation, i.e. \( \mu(t, x_t) \) | |
Real | diffusion (Time t, Real x) const |
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) | |
Real | sigma () const |
Real | nu () const |
Real | theta () const |
const Handle< Quote > & | s0 () const |
const Handle< YieldTermStructure > & | dividendYield () const |
const Handle< YieldTermStructure > & | riskFreeRate () const |
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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 |
virtual Real | apply (Real x0, Real dx) const |
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virtual Size | factors () const |
returns the number of independent factors of the process | |
virtual Time | time (const Date &) const |
void | update () |
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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 () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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StochasticProcess1D () | |
StochasticProcess1D (const ext::shared_ptr< discretization > &) | |
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StochasticProcess () | |
StochasticProcess (const ext::shared_ptr< discretization > &) | |
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ext::shared_ptr< discretization > | discretization_ |
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ext::shared_ptr< discretization > | discretization_ |
Variance gamma process.
This class describes the stochastic volatility process. With a Brownian motion given by
\[ db = \theta dt + \sigma dW_t \]
then a Variance Gamma process X is defined by evaluating this Brownian motion at sample times driven by a Gamma process. If T is the value of a Gamma process with mean 1 and variance rate \( \nu \) then the Variance Gamma process is given by
\[ X(t) = B(T) \]