Merton76Process Class Reference

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

#include <ql/processes/merton76process.hpp>

Inheritance 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
Real	drift (Time, Real) const override
	returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Real	diffusion (Time, Real) const override
	returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
Real	apply (Real, Real) const override
Time	time (const Date &) const override
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
virtual Size	factors () const
	returns the number of independent factors of the process
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Inspectors
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
	StochasticProcess1D (ext::shared_ptr< discretization >)
	StochasticProcess (ext::shared_ptr< discretization >)
ext::shared_ptr< discretization >	discretization_
ext::shared_ptr< discretization >	discretization_

Detailed Description

Merton-76 jump-diffusion process.

Member Function Documentation

x0()

Real x0 ( ) const

overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

drift()

Real drift ( Time t, Real x ) const

overridevirtual

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

Implements StochasticProcess1D.

diffusion()

Real diffusion ( Time t, Real x ) const

overridevirtual

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

Implements StochasticProcess1D.

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.

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.