QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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experimental Black-Scholes-Merton stochastic process More...
#include <extendedblackscholesprocess.hpp>
Public Types | |
enum | Discretization { Euler , Milstein , PredictorCorrector } |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Public Member Functions | |
ExtendedBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization), Discretization evolDisc=Milstein) | |
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 | evolve (Time t0, Real x0, Time dt, Real dw) const override |
Public Member Functions inherited from GeneralizedBlackScholesProcess | |
GeneralizedBlackScholesProcess (Handle< Quote > x0, Handle< YieldTermStructure > dividendTS, Handle< YieldTermStructure > riskFreeTS, Handle< BlackVolTermStructure > blackVolTS, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization), bool forceDiscretization=false) | |
GeneralizedBlackScholesProcess (Handle< Quote > x0, Handle< YieldTermStructure > dividendTS, Handle< YieldTermStructure > riskFreeTS, Handle< BlackVolTermStructure > blackVolTS, Handle< LocalVolTermStructure > localVolTS) | |
Real | x0 () const override |
returns the initial value of the state variable More... | |
Real | drift (Time t, Real x) const override |
Real | diffusion (Time t, Real x) const override |
Real | apply (Real x0, Real dx) const override |
Real | expectation (Time t0, Real x0, Time dt) const override |
Real | stdDeviation (Time t0, Real x0, Time dt) const override |
Real | variance (Time t0, Real x0, Time dt) const override |
Real | evolve (Time t0, Real x0, Time dt, Real dw) const override |
Time | time (const Date &) const override |
void | update () override |
const Handle< Quote > & | stateVariable () const |
const Handle< YieldTermStructure > & | dividendYield () const |
const Handle< YieldTermStructure > & | riskFreeRate () const |
const Handle< BlackVolTermStructure > & | blackVolatility () const |
const Handle< LocalVolTermStructure > & | localVolatility () const |
Public Member Functions inherited from StochasticProcess1D | |
Public Member Functions inherited from StochasticProcess | |
~StochasticProcess () override=default | |
virtual Size | factors () const |
returns the number of independent factors of the process More... | |
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 | |
const Discretization | discretization_ |
Additional Inherited Members | |
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_ |
experimental Black-Scholes-Merton stochastic process
This class allows to choose a built-in discretization scheme
Definition at line 36 of file extendedblackscholesprocess.hpp.
enum Discretization |
Enumerator | |
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Euler | |
Milstein | |
PredictorCorrector |
Definition at line 39 of file extendedblackscholesprocess.hpp.
ExtendedBlackScholesMertonProcess | ( | const Handle< Quote > & | x0, |
const Handle< YieldTermStructure > & | dividendTS, | ||
const Handle< YieldTermStructure > & | riskFreeTS, | ||
const Handle< BlackVolTermStructure > & | blackVolTS, | ||
const ext::shared_ptr< discretization > & | d = ext::shared_ptr<discretization>(new EulerDiscretization) , |
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Discretization | evolDisc = Milstein |
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) |
Definition at line 24 of file extendedblackscholesprocess.cpp.
returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 34 of file extendedblackscholesprocess.cpp.
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 44 of file extendedblackscholesprocess.cpp.
returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns
\[ E(x_0,t_0,\Delta t) + S(x_0,t_0,\Delta t) \cdot \Delta w \]
where \( E \) is the expectation and \( S \) the standard deviation.
Reimplemented from StochasticProcess1D.
Definition at line 48 of file extendedblackscholesprocess.cpp.
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private |
Definition at line 53 of file extendedblackscholesprocess.hpp.