Merton-76 jump-diffusion process. More...

#include <merton76process.hpp>

Inheritance diagram for Merton76Process:

Collaboration diagram for Merton76Process:

Public Member Functions
	Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, Handle< Quote > jumpInt, Handle< Quote > logJMean, Handle< Quote > logJVol, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization))

StochasticProcess1D interface
Real	x0 () const override
	returns the initial value of the state variable More...

Real	drift (Time, Real) const override
	returns the drift part of the equation, i.e. \( \mu(t, x_t) \) More...

Real	diffusion (Time, Real) const override
	returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) More...

Real	apply (Real, Real) const override

Time	time (const Date &) const override

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

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 ()

Inspectors
ext::shared_ptr< GeneralizedBlackScholesProcess >	blackProcess_

Handle< Quote >	jumpIntensity_

Handle< Quote >	logMeanJump_

Handle< Quote >	logJumpVolatility_

const Handle< Quote > &	stateVariable () const

const Handle< YieldTermStructure > &	dividendYield () const

const Handle< YieldTermStructure > &	riskFreeRate () const

const Handle< BlackVolTermStructure > &	blackVolatility () const

const Handle< Quote > &	jumpIntensity () const

const Handle< Quote > &	logMeanJump () const

const Handle< Quote > &	logJumpVolatility () const

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_

Detailed Description

Merton-76 jump-diffusion process.

Definition at line 36 of file merton76process.hpp.

Constructor & Destructor Documentation

◆ Merton76Process()

Merton76Process	(	const Handle< Quote > &	stateVariable,
		const Handle< YieldTermStructure > &	dividendTS,
		const Handle< YieldTermStructure > &	riskFreeTS,
		const Handle< BlackVolTermStructure > &	blackVolTS,
		Handle< Quote >	jumpInt,
		Handle< Quote >	logJMean,
		Handle< Quote >	logJVol,
		const ext::shared_ptr< discretization > &	d = `ext::shared_ptr<discretization>(new EulerDiscretization)`
	)

Definition at line 27 of file merton76process.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ x0()

Real x0 ( ) const

overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

Definition at line 45 of file merton76process.cpp.

◆ drift()

Real drift	(	Time	t,
		Real	x
	)		const

overridevirtual

returns the drift part of the equation, i.e. \( \mu(t, x_t) \)

Implements StochasticProcess1D.

Definition at line 50 of file merton76process.hpp.

◆ diffusion()

Real diffusion	(	Time	t,
		Real	x
	)		const

overridevirtual

returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)

Implements StochasticProcess1D.

Definition at line 51 of file merton76process.hpp.

◆ apply()

Real apply	(	Real	x0,
		Real	dx
	)		const

overridevirtual

applies a change to the asset value. By default, it returns \( x + \Delta x \).

Reimplemented from StochasticProcess1D.

Definition at line 52 of file merton76process.hpp.

◆ time()

Time time ( const Date & ) const

overridevirtual

returns the time value corresponding to the given date in the reference system of the stochastic process.

Note: As a number of processes might not need this functionality, a default implementation is given which raises an exception.

Reimplemented from StochasticProcess.

Definition at line 49 of file merton76process.cpp.

◆ stateVariable()

const Handle< Quote > & stateVariable ( ) const

Definition at line 53 of file merton76process.cpp.

◆ dividendYield()

const Handle< YieldTermStructure > & dividendYield ( ) const

Definition at line 57 of file merton76process.cpp.

◆ riskFreeRate()

const Handle< YieldTermStructure > & riskFreeRate ( ) const

Definition at line 61 of file merton76process.cpp.

◆ blackVolatility()

const Handle< BlackVolTermStructure > & blackVolatility ( ) const

Definition at line 66 of file merton76process.cpp.

◆ jumpIntensity()

const Handle< Quote > & jumpIntensity ( ) const

Definition at line 70 of file merton76process.cpp.

◆ logMeanJump()

const Handle< Quote > & logMeanJump ( ) const

Definition at line 74 of file merton76process.cpp.

◆ logJumpVolatility()

const Handle< Quote > & logJumpVolatility ( ) const

Definition at line 78 of file merton76process.cpp.

Member Data Documentation

◆ blackProcess_

ext::shared_ptr<GeneralizedBlackScholesProcess> blackProcess_

private

Definition at line 66 of file merton76process.hpp.

◆ jumpIntensity_

Handle<Quote> jumpIntensity_

private

Definition at line 67 of file merton76process.hpp.

◆ logMeanJump_

Handle<Quote> logMeanJump_

private

Definition at line 67 of file merton76process.hpp.

◆ logJumpVolatility_

Handle<Quote> logJumpVolatility_

private

Definition at line 67 of file merton76process.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Merton76Process()

Member Function Documentation

◆ x0()

◆ drift()

◆ diffusion()

◆ apply()

◆ time()

◆ stateVariable()

◆ dividendYield()

◆ riskFreeRate()

◆ blackVolatility()

◆ jumpIntensity()

◆ logMeanJump()

◆ logJumpVolatility()

Member Data Documentation

◆ blackProcess_

◆ jumpIntensity_

◆ logMeanJump_

◆ logJumpVolatility_