experimental Black-Scholes-Merton stochastic process More...

#include <extendedblackscholesprocess.hpp>

Inheritance diagram for ExtendedBlackScholesMertonProcess:

Collaboration diagram for ExtendedBlackScholesMertonProcess:

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 > &dividendTS, 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 ()=default

	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_

Detailed Description

experimental Black-Scholes-Merton stochastic process

This class allows to choose a built-in discretization scheme

Definition at line 36 of file extendedblackscholesprocess.hpp.

Member Enumeration Documentation

◆ Discretization

enum Discretization

Enumerator
Euler
Milstein
PredictorCorrector

Definition at line 39 of file extendedblackscholesprocess.hpp.

Constructor & Destructor Documentation

◆ ExtendedBlackScholesMertonProcess()

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)`,
		Discretization	evolDisc = `Milstein`
	)