27#ifndef quantlib_black_scholes_process_hpp
28#define quantlib_black_scholes_process_hpp
39 class LocalConstantVol;
60 const ext::shared_ptr<discretization>&
d =
62 bool forceDiscretization =
false);
129 const ext::shared_ptr<discretization>&
d =
131 bool forceDiscretization =
false);
151 const ext::shared_ptr<discretization>&
d =
153 bool forceDiscretization =
false);
174 const ext::shared_ptr<discretization>&
d =
176 bool forceDiscretization =
false);
199 const ext::shared_ptr<discretization>&
d =
201 bool forceDiscretization =
false);
Black volatility term structure base classes.
Black (1976) stochastic process.
Merton (1973) extension to the Black-Scholes stochastic process.
Black-Scholes (1973) stochastic process.
Euler discretization for stochastic processes.
Garman-Kohlhagen (1983) stochastic process.
Generalized Black-Scholes stochastic process.
Real apply(Real x0, Real dx) const override
bool forceDiscretization_
const Handle< Quote > & stateVariable() const
const Handle< LocalVolTermStructure > & localVolatility() const
RelinkableHandle< LocalVolTermStructure > localVolatility_
Handle< LocalVolTermStructure > externalLocalVolTS_
Handle< BlackVolTermStructure > blackVolatility_
const Handle< YieldTermStructure > & dividendYield() const
Time time(const Date &) const override
Real diffusion(Time t, Real x) const override
Real stdDeviation(Time t0, Real x0, Time dt) const override
Real evolve(Time t0, Real x0, Time dt, Real dw) const override
bool hasExternalLocalVol_
Real drift(Time t, Real x) const override
bool isStrikeIndependent_
Handle< YieldTermStructure > dividendYield_
Real expectation(Time t0, Real x0, Time dt) const override
const Handle< BlackVolTermStructure > & blackVolatility() const
Real x0() const override
returns the initial value of the state variable
const Handle< YieldTermStructure > & riskFreeRate() const
Handle< YieldTermStructure > riskFreeRate_
Shared handle to an observable.
Relinkable handle to an observable.
1-dimensional stochastic process
Euler discretization for stochastic processes.
LinearInterpolation variance
Real Time
continuous quantity with 1-year units
Local volatility term structure base class.
purely virtual base class for market observables
Interest-rate term structure.