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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/processes/merton76process.hpp>
namespace QuantLib {
Merton76Process::Merton76Process(
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>& disc)
: blackProcess_(new BlackScholesMertonProcess(stateVariable, dividendTS,
riskFreeTS, blackVolTS,
disc)),
jumpIntensity_(jumpInt), logMeanJump_(logJMean),
logJumpVolatility_(logJVol) {
registerWith(blackProcess_);
registerWith(jumpIntensity_);
registerWith(logMeanJump_);
registerWith(logJumpVolatility_);
}
Real Merton76Process::x0() const {
return blackProcess_->x0();
}
Time Merton76Process::time(const Date& d) const {
return blackProcess_->time(d);
}
const Handle<Quote>& Merton76Process::stateVariable() const {
return blackProcess_->stateVariable();
}
const Handle<YieldTermStructure>& Merton76Process::dividendYield() const {
return blackProcess_->dividendYield();
}
const Handle<YieldTermStructure>& Merton76Process::riskFreeRate() const {
return blackProcess_->riskFreeRate();
}
const Handle<BlackVolTermStructure>&
Merton76Process::blackVolatility() const {
return blackProcess_->blackVolatility();
}
const Handle<Quote>& Merton76Process::jumpIntensity() const {
return jumpIntensity_;
}
const Handle<Quote>& Merton76Process::logMeanJump() const {
return logMeanJump_;
}
const Handle<Quote>& Merton76Process::logJumpVolatility() const {
return logJumpVolatility_;
}
}
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