QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Variance gamma process. More...
#include <variancegammaprocess.hpp>
Public Member Functions | |
VarianceGammaProcess (Handle< Quote > s0, Handle< YieldTermStructure > dividendYield, Handle< YieldTermStructure > riskFreeRate, Real sigma, Real nu, Real theta) | |
Real | x0 () const override |
returns the initial value of the state variable More... | |
Real | drift (Time t, Real x) const override |
returns the drift part of the equation, i.e. \( \mu(t, x_t) \) More... | |
Real | diffusion (Time t, Real x) const override |
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) More... | |
Real | sigma () const |
Real | nu () const |
Real | theta () const |
const Handle< Quote > & | s0 () const |
const Handle< YieldTermStructure > & | dividendYield () const |
const Handle< YieldTermStructure > & | riskFreeRate () const |
Public Member Functions inherited from StochasticProcess1D | |
virtual Real | expectation (Time t0, Real x0, Time dt) const |
virtual Real | stdDeviation (Time t0, Real x0, Time dt) const |
virtual Real | variance (Time t0, Real x0, Time dt) const |
virtual Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
virtual Real | apply (Real x0, Real dx) const |
Public Member Functions inherited from StochasticProcess | |
~StochasticProcess () override=default | |
virtual Size | factors () const |
returns the number of independent factors of the process More... | |
virtual Time | time (const Date &) const |
void | update () override |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | update ()=0 |
virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Private Attributes | |
Handle< Quote > | s0_ |
Handle< YieldTermStructure > | dividendYield_ |
Handle< YieldTermStructure > | riskFreeRate_ |
Real | sigma_ |
Real | nu_ |
Real | theta_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from StochasticProcess1D | |
StochasticProcess1D ()=default | |
StochasticProcess1D (ext::shared_ptr< discretization >) | |
Protected Member Functions inherited from StochasticProcess | |
StochasticProcess ()=default | |
StochasticProcess (ext::shared_ptr< discretization >) | |
Protected Attributes inherited from StochasticProcess1D | |
ext::shared_ptr< discretization > | discretization_ |
Protected Attributes inherited from StochasticProcess | |
ext::shared_ptr< discretization > | discretization_ |
Variance gamma process.
This class describes the stochastic volatility process. With a Brownian motion given by
\[ db = \theta dt + \sigma dW_t \]
then a Variance Gamma process X is defined by evaluating this Brownian motion at sample times driven by a Gamma process. If T is the value of a Gamma process with mean 1 and variance rate \( \nu \) then the Variance Gamma process is given by
\[ X(t) = B(T) \]
Definition at line 50 of file variancegammaprocess.hpp.
VarianceGammaProcess | ( | Handle< Quote > | s0, |
Handle< YieldTermStructure > | dividendYield, | ||
Handle< YieldTermStructure > | riskFreeRate, | ||
Real | sigma, | ||
Real | nu, | ||
Real | theta | ||
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overridevirtual |
returns the initial value of the state variable
Implements StochasticProcess1D.
Definition at line 42 of file variancegammaprocess.cpp.
returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 47 of file variancegammaprocess.cpp.
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 52 of file variancegammaprocess.cpp.
Real sigma | ( | ) | const |
Definition at line 63 of file variancegammaprocess.hpp.
Real nu | ( | ) | const |
Definition at line 64 of file variancegammaprocess.hpp.
Real theta | ( | ) | const |
Definition at line 65 of file variancegammaprocess.hpp.
Definition at line 57 of file variancegammaprocess.cpp.
const Handle< YieldTermStructure > & dividendYield | ( | ) | const |
Definition at line 61 of file variancegammaprocess.cpp.
const Handle< YieldTermStructure > & riskFreeRate | ( | ) | const |
Definition at line 65 of file variancegammaprocess.cpp.
Definition at line 72 of file variancegammaprocess.hpp.
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Definition at line 73 of file variancegammaprocess.hpp.
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Definition at line 73 of file variancegammaprocess.hpp.
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Definition at line 74 of file variancegammaprocess.hpp.
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Definition at line 74 of file variancegammaprocess.hpp.
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Definition at line 74 of file variancegammaprocess.hpp.