1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: Merton76Process Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_merton76_process.html">Merton76Process</a></div>
<h1>Merton76Process Class Reference<br>
<small>
[<a class="el" href="group__processes.html">Stochastic processes</a>]</small>
</h1><!-- doxytag: class="QuantLib::Merton76Process" --><!-- doxytag: inherits="QuantLib::StochasticProcess1D" --><code>#include <ql/processes/merton76process.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for Merton76Process:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_merton76_process__inherit__graph.png" border="0" usemap="#_merton76_process__inherit__map" alt="Inheritance graph"></center>
<map name="_merton76_process__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_stochastic_process1_d.html" title="1-dimensional stochastic process" alt="" coords="5,7,163,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_merton76_process-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Merton-76 jump-diffusion process.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="49ad1979d928f27eeae2b4a1251fc3a6"></a><!-- doxytag: member="QuantLib::Merton76Process::Merton76Process" ref="49ad1979d928f27eeae2b4a1251fc3a6" args="(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))" -->
</td><td class="memItemRight" valign="bottom"><b>Merton76Process</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &stateVariable, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &dividendTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &riskFreeTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &blackVolTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &jumpInt, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &logJMean, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &logJVol, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > &d=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> >(new <a class="el" href="class_quant_lib_1_1_euler_discretization.html">EulerDiscretization</a>))</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#f8a1d4ca4369b3009d08291f1c2d7744">time</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">StochasticProcess1D interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="89d2f497b5fd0d0a0dce2ec82c86e778"></a><!-- doxytag: member="QuantLib::Merton76Process::x0" ref="89d2f497b5fd0d0a0dce2ec82c86e778" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#89d2f497b5fd0d0a0dce2ec82c86e778">x0</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the initial value of the state variable <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1ff4edad5a08359f18edf7f72a492317"></a><!-- doxytag: member="QuantLib::Merton76Process::drift" ref="1ff4edad5a08359f18edf7f72a492317" args="(Time, Real) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#1ff4edad5a08359f18edf7f72a492317">drift</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the drift part of the equation, i.e. <img class="formulaInl" alt="$ \mu(t, x_t) $" src="form_279.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="73959c8b969d8981d5d670b367d51aed"></a><!-- doxytag: member="QuantLib::Merton76Process::diffusion" ref="73959c8b969d8981d5d670b367d51aed" args="(Time, Real) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#73959c8b969d8981d5d670b367d51aed">diffusion</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, x_t) $" src="form_280.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#556c2d99ae77d13156c6371c4faaf960">apply</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fdbbd388a2432e1d8d9e94136acfdb8"></a><!-- doxytag: member="QuantLib::Merton76Process::stateVariable" ref="3fdbbd388a2432e1d8d9e94136acfdb8" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > & </td><td class="memItemRight" valign="bottom"><b>stateVariable</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d410a408dd37b79578b370b5219dbf80"></a><!-- doxytag: member="QuantLib::Merton76Process::dividendYield" ref="d410a408dd37b79578b370b5219dbf80" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br>
< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td><td class="memItemRight" valign="bottom"><b>dividendYield</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="925fdf9de4dd73519b36f975bc7917a8"></a><!-- doxytag: member="QuantLib::Merton76Process::riskFreeRate" ref="925fdf9de4dd73519b36f975bc7917a8" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br>
< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td><td class="memItemRight" valign="bottom"><b>riskFreeRate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="966c6dd76f94ceda5c3a344a8f3e3a8b"></a><!-- doxytag: member="QuantLib::Merton76Process::blackVolatility" ref="966c6dd76f94ceda5c3a344a8f3e3a8b" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br>
< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > & </td><td class="memItemRight" valign="bottom"><b>blackVolatility</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f3890daa1679223c074f4b7adb0a598"></a><!-- doxytag: member="QuantLib::Merton76Process::jumpIntensity" ref="6f3890daa1679223c074f4b7adb0a598" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > & </td><td class="memItemRight" valign="bottom"><b>jumpIntensity</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="56392a3f0897039bbaefecba5b4a641f"></a><!-- doxytag: member="QuantLib::Merton76Process::logMeanJump" ref="56392a3f0897039bbaefecba5b4a641f" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > & </td><td class="memItemRight" valign="bottom"><b>logMeanJump</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="98eebd6ea2b4b5024c513787041cc016"></a><!-- doxytag: member="QuantLib::Merton76Process::logJumpVolatility" ref="98eebd6ea2b4b5024c513787041cc016" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > & </td><td class="memItemRight" valign="bottom"><b>logJumpVolatility</b> () const </td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="556c2d99ae77d13156c6371c4faaf960"></a><!-- doxytag: member="QuantLib::Merton76Process::apply" ref="556c2d99ae77d13156c6371c4faaf960" args="(Real, Real) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> apply </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>dx</em></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
applies a change to the asset value. By default, it returns <img class="formulaInl" alt="$ x + \Delta x $" src="form_285.png">.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html#905bb2d5a924e5274035b0850c3e04fb">StochasticProcess1D</a>.</p>
</div>
</div><p>
<a class="anchor" name="f8a1d4ca4369b3009d08291f1c2d7744"></a><!-- doxytag: member="QuantLib::Merton76Process::time" ref="f8a1d4ca4369b3009d08291f1c2d7744" args="(const Date &) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
returns the time value corresponding to the given date in the reference system of the stochastic process.<p>
<dl class="note" compact><dt><b>Note:</b></dt><dd>As a number of processes might not need this functionality, a default implementation is given which raises an exception. </dd></dl>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#cb2c915740d2c20c6ee1f5c27b05caef">StochasticProcess</a>.</p>
</div>
</div><p>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
