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<div class="title">Merton76Process Class Reference<div class="ingroups"><a class="el" href="group__processes.html">Stochastic processes</a></div></div> </div>
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<!-- doxytag: class="QuantLib::Merton76Process" --><!-- doxytag: inherits="QuantLib::StochasticProcess1D" -->
<p>Merton-76 jump-diffusion process.
<a href="class_quant_lib_1_1_merton76_process.html#details">More...</a></p>
<p><code>#include <ql/processes/merton76process.hpp></code></p>
<div class="dynheader">
Inheritance diagram for Merton76Process:</div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_stochastic_process1_d.html" title="1-dimensional stochastic process" alt="" coords="5,6,152,37"/></map>
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<p><a href="class_quant_lib_1_1_merton76_process-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a49ad1979d928f27eeae2b4a1251fc3a6"></a><!-- doxytag: member="QuantLib::Merton76Process::Merton76Process" ref="a49ad1979d928f27eeae2b4a1251fc3a6" 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" align="right" valign="top"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#af8a1d4ca4369b3009d08291f1c2d7744">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" align="right" valign="top"><a class="anchor" id="a89d2f497b5fd0d0a0dce2ec82c86e778"></a><!-- doxytag: member="QuantLib::Merton76Process::x0" ref="a89d2f497b5fd0d0a0dce2ec82c86e778" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#a89d2f497b5fd0d0a0dce2ec82c86e778">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" align="right" valign="top"><a class="anchor" id="a1ff4edad5a08359f18edf7f72a492317"></a><!-- doxytag: member="QuantLib::Merton76Process::drift" ref="a1ff4edad5a08359f18edf7f72a492317" args="(Time, Real) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#a1ff4edad5a08359f18edf7f72a492317">drift</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">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) $" src="form_360.png"/> <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a73959c8b969d8981d5d670b367d51aed"></a><!-- doxytag: member="QuantLib::Merton76Process::diffusion" ref="a73959c8b969d8981d5d670b367d51aed" args="(Time, Real) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#a73959c8b969d8981d5d670b367d51aed">diffusion</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, x_t) $" src="form_361.png"/> <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_merton76_process.html#a556c2d99ae77d13156c6371c4faaf960">apply</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3fdbbd388a2432e1d8d9e94136acfdb8"></a><!-- doxytag: member="QuantLib::Merton76Process::stateVariable" ref="a3fdbbd388a2432e1d8d9e94136acfdb8" 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" align="right" valign="top"><a class="anchor" id="ad410a408dd37b79578b370b5219dbf80"></a><!-- doxytag: member="QuantLib::Merton76Process::dividendYield" ref="ad410a408dd37b79578b370b5219dbf80" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="a925fdf9de4dd73519b36f975bc7917a8"></a><!-- doxytag: member="QuantLib::Merton76Process::riskFreeRate" ref="a925fdf9de4dd73519b36f975bc7917a8" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="a966c6dd76f94ceda5c3a344a8f3e3a8b"></a><!-- doxytag: member="QuantLib::Merton76Process::blackVolatility" ref="a966c6dd76f94ceda5c3a344a8f3e3a8b" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="a6f3890daa1679223c074f4b7adb0a598"></a><!-- doxytag: member="QuantLib::Merton76Process::jumpIntensity" ref="a6f3890daa1679223c074f4b7adb0a598" 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" align="right" valign="top"><a class="anchor" id="a56392a3f0897039bbaefecba5b4a641f"></a><!-- doxytag: member="QuantLib::Merton76Process::logMeanJump" ref="a56392a3f0897039bbaefecba5b4a641f" 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" align="right" valign="top"><a class="anchor" id="a98eebd6ea2b4b5024c513787041cc016"></a><!-- doxytag: member="QuantLib::Merton76Process::logJumpVolatility" ref="a98eebd6ea2b4b5024c513787041cc016" 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/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Merton-76 jump-diffusion process. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a556c2d99ae77d13156c6371c4faaf960"></a><!-- doxytag: member="QuantLib::Merton76Process::apply" ref="a556c2d99ae77d13156c6371c4faaf960" args="(Real, Real) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_merton76_process.html#a556c2d99ae77d13156c6371c4faaf960">apply</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">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#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>dx</em> </td>
</tr>
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<td></td>
<td>)</td>
<td></td><td> const<code> [virtual]</code></td>
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<div class="memdoc">
<p>applies a change to the asset value. By default, it returns <img class="formulaInl" alt="$ x + \Delta x $" src="form_366.png"/>. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html#a905bb2d5a924e5274035b0850c3e04fb">StochasticProcess1D</a>.</p>
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<a class="anchor" id="af8a1d4ca4369b3009d08291f1c2d7744"></a><!-- doxytag: member="QuantLib::Merton76Process::time" ref="af8a1d4ca4369b3009d08291f1c2d7744" args="(const Date &) const " -->
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<td class="memname"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> <a class="el" href="class_quant_lib_1_1_merton76_process.html#af8a1d4ca4369b3009d08291f1c2d7744">time</a> </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> const<code> [virtual]</code></td>
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<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"><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#acb2c915740d2c20c6ee1f5c27b05caef">StochasticProcess</a>.</p>
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