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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_black_process.html">BlackProcess</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">BlackProcess Class Reference<div class="ingroups"><a class="el" href="group__processes.html">Stochastic processes</a></div></div> </div>
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<p>Black (1976) stochastic process.
<a href="class_quant_lib_1_1_black_process.html#details">More...</a></p>
<p><code>#include <ql/processes/blackscholesprocess.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for BlackProcess:</div>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:ae11ff37035020cb89d1643098168c9f4"><td class="memItemLeft" align="right" valign="top"><a id="ae11ff37035020cb89d1643098168c9f4"></a>
 </td><td class="memItemRight" valign="bottom"><b>BlackProcess</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> > &<a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a>, 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 ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > &d=ext::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>), bool forceDiscretization=false)</td></tr>
<tr class="separator:ae11ff37035020cb89d1643098168c9f4"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_generalized_black_scholes_process')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a></td></tr>
<tr class="memitem:a30c0be01cc5292505729273d65c9784b inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memItemLeft" align="right" valign="top"><a id="a30c0be01cc5292505729273d65c9784b"></a>
 </td><td class="memItemRight" valign="bottom"><b>GeneralizedBlackScholesProcess</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> > &<a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a>, 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 ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > &d=ext::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>), bool forceDiscretization=false)</td></tr>
<tr class="separator:a30c0be01cc5292505729273d65c9784b inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8969f9dc7fb8570dc5ed831bbe864284 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memItemLeft" align="right" valign="top"><a id="a8969f9dc7fb8570dc5ed831bbe864284"></a>
 </td><td class="memItemRight" valign="bottom"><b>GeneralizedBlackScholesProcess</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> > &<a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a>, 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_local_vol_term_structure.html">LocalVolTermStructure</a> > &localVolTS)</td></tr>
<tr class="separator:a8969f9dc7fb8570dc5ed831bbe864284 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae7a72a4c8dd1f131143d89a535765d42 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memItemLeft" align="right" valign="top"><a id="ae7a72a4c8dd1f131143d89a535765d42"></a>
<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_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a> () const</td></tr>
<tr class="memdesc:ae7a72a4c8dd1f131143d89a535765d42 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="mdescLeft"> </td><td class="mdescRight">returns the initial value of the state variable <br /></td></tr>
<tr class="separator:ae7a72a4c8dd1f131143d89a535765d42 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac0fef0634785539f761f09c6fe6fa566 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><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_generalized_black_scholes_process.html#ac0fef0634785539f761f09c6fe6fa566">drift</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const</td></tr>
<tr class="separator:ac0fef0634785539f761f09c6fe6fa566 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5ab4b67d548a4674f8a989868c0a922b inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><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_generalized_black_scholes_process.html#a5ab4b67d548a4674f8a989868c0a922b">diffusion</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const</td></tr>
<tr class="separator:a5ab4b67d548a4674f8a989868c0a922b inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a181565755d35d36c7bf732e1905f3661 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><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_generalized_black_scholes_process.html#a181565755d35d36c7bf732e1905f3661">apply</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> dx) const</td></tr>
<tr class="separator:a181565755d35d36c7bf732e1905f3661 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af718d7a907863b462830ca96dda4321c inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><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_generalized_black_scholes_process.html#af718d7a907863b462830ca96dda4321c">expectation</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:af718d7a907863b462830ca96dda4321c inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac731332c432f5be07edc3bda917e6ea0 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><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_generalized_black_scholes_process.html#ac731332c432f5be07edc3bda917e6ea0">stdDeviation</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:ac731332c432f5be07edc3bda917e6ea0 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5da3e29d59b0c10b20f760739de77535 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><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_generalized_black_scholes_process.html#a5da3e29d59b0c10b20f760739de77535">variance</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:a5da3e29d59b0c10b20f760739de77535 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa81fd19ade75674de0a4bcbacd4a26ba inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><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_generalized_black_scholes_process.html#aa81fd19ade75674de0a4bcbacd4a26ba">evolve</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ae7a72a4c8dd1f131143d89a535765d42">x0</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> dw) const</td></tr>
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<tr class="memitem:ab2e3e42e764f5a50686da1cb9ea153be inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><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_generalized_black_scholes_process.html#ab2e3e42e764f5a50686da1cb9ea153be">time</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) const</td></tr>
<tr class="separator:ab2e3e42e764f5a50686da1cb9ea153be inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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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>
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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> > & </td><td class="memItemRight" valign="bottom"><b>dividendYield</b> () const</td></tr>
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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> > & </td><td class="memItemRight" valign="bottom"><b>riskFreeRate</b> () const</td></tr>
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<tr class="memitem:a61aa22268c07f1b253947b077619dbfd inherit pub_methods_class_quant_lib_1_1_generalized_black_scholes_process"><td class="memItemLeft" align="right" valign="top"><a id="a61aa22268c07f1b253947b077619dbfd"></a>
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> > & </td><td class="memItemRight" valign="bottom"><b>blackVolatility</b> () const</td></tr>
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const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html">LocalVolTermStructure</a> > & </td><td class="memItemRight" valign="bottom"><b>localVolatility</b> () const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_stochastic_process1_d"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_stochastic_process1_d')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a></td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_stochastic_process"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_stochastic_process')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a></td></tr>
<tr class="memitem:a33d9dda89ba7db93ae8b7d8c64122597 inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top"><a id="a33d9dda89ba7db93ae8b7d8c64122597"></a>
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#a33d9dda89ba7db93ae8b7d8c64122597">factors</a> () const</td></tr>
<tr class="memdesc:a33d9dda89ba7db93ae8b7d8c64122597 inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="mdescLeft"> </td><td class="mdescRight">returns the number of independent factors of the process <br /></td></tr>
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<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_stochastic_process1_d"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_stochastic_process1_d')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a></td></tr>
<tr class="memitem:ad98007dd5c830d050dfb0d4205094b9e inherit pro_methods_class_quant_lib_1_1_stochastic_process1_d"><td class="memItemLeft" align="right" valign="top"><a id="ad98007dd5c830d050dfb0d4205094b9e"></a>
 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess1D</b> ()</td></tr>
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<tr class="memitem:a7119a443854b505713e5e409dc6bf3e7 inherit pro_methods_class_quant_lib_1_1_stochastic_process1_d"><td class="memItemLeft" align="right" valign="top"><a id="a7119a443854b505713e5e409dc6bf3e7"></a>
 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess1D</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d_1_1discretization.html">discretization</a> > &)</td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_stochastic_process"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_stochastic_process')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a></td></tr>
<tr class="memitem:afbd1bbfbbd50f17d99fa61f74dc16437 inherit pro_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top"><a id="afbd1bbfbbd50f17d99fa61f74dc16437"></a>
 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess</b> ()</td></tr>
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<tr class="memitem:a84749d046d61db59992e49b8a7940bc5 inherit pro_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top"><a id="a84749d046d61db59992e49b8a7940bc5"></a>
 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > &)</td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_stochastic_process1_d"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_stochastic_process1_d')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a></td></tr>
<tr class="memitem:a51a940500df8f947d270aaab06f53371 inherit pro_attribs_class_quant_lib_1_1_stochastic_process1_d"><td class="memItemLeft" align="right" valign="top"><a id="a51a940500df8f947d270aaab06f53371"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d_1_1discretization.html">discretization</a> > </td><td class="memItemRight" valign="bottom"><b>discretization_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_stochastic_process"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_stochastic_process')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a></td></tr>
<tr class="memitem:a51a940500df8f947d270aaab06f53371 inherit pro_attribs_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top"><a id="a51a940500df8f947d270aaab06f53371"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > </td><td class="memItemRight" valign="bottom"><b>discretization_</b></td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Black (1976) stochastic process. </p>
<p>This class describes the stochastic process \( S \) for a forward or futures contract given by </p><p class="formulaDsp">
\[ d\ln S(t) = -\frac{\sigma(t, S)^2}{2} dt + \sigma dW_t. \]
</p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000150">Warning:</a></b></dt><dd>while the interface is expressed in terms of \( S \), the internal calculations work on \( ln S \).</dd></dl>
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