QuantLib_BlackProcess man page

BlackProcess — Black (1976) stochastic process.

Synopsis

#include <ql/processes/blackscholesprocess.hpp>

Inherits GeneralizedBlackScholesProcess.

Public Member Functions

BlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))

Additional Inherited Members

Detailed Description

Black (1976) stochastic process.

This class describes the stochastic process $ S $ for a forward or futures contract given by [ dln S(t) = -ac{sigma(t, S)^2}{2} dt + sigma dW_t. ]

Warning

while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackProcess(3) is an alias of QuantLib_BlackProcess(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib