Merton76Process Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for Merton76Process:

Inheritance graph
[legend]
List of all members.

Detailed Description

Merton-76 jump-diffusion process.


Public Member Functions

 Merton76Process (const RelinkableHandle< Quote > &stateVariable, const RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< BlackVolTermStructure > &blackVolTS, const RelinkableHandle< Quote > &jumpInt, const RelinkableHandle< Quote > &logJMean, const RelinkableHandle< Quote > &logJVol, const boost::shared_ptr< StochasticProcess::discretization > &d=boost::shared_ptr< StochasticProcess::discretization >(new EulerDiscretization))
StochasticProcess interface
Real drift (Time, Real) const
Real diffusion (Time, Real) const
Inspectors
const boost::shared_ptr< Quote > & jumpIntensity () const
const boost::shared_ptr< Quote > & logMeanJump () const
const boost::shared_ptr< Quote > & logJumpVolatility () const


Member Function Documentation

Real drift Time  ,
Real 
const [virtual]
 

Todo:
revise extrapolation

Reimplemented from BlackScholesProcess.

Real diffusion Time  ,
Real 
const [virtual]
 

Todo:
revise extrapolation

Reimplemented from BlackScholesProcess.


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