QuantLib_GarmanKohlagenProcess man page

GarmanKohlagenProcess — Garman-Kohlhagen (1983) stochastic process.


#include <ql/processes/blackscholesprocess.hpp>

Inherits GeneralizedBlackScholesProcess.

Public Member Functions

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

Additional Inherited Members

Detailed Description

Garman-Kohlhagen (1983) stochastic process.

This class describes the stochastic process $ S $ for an exchange rate given by [ dln S(t) = (r(t) - r_f(t) - ac{sigma(t, S)^2}{2}) dt + sigma dW_t. ]


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


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Referenced By

GarmanKohlagenProcess(3) is an alias of QuantLib_GarmanKohlagenProcess(3).

QuantLib Version 1.8.1 Fri Sep 23 2016