# QuantLib_GarmanKohlagenProcess man page

GarmanKohlagenProcess — Garman-Kohlhagen (1983) stochastic process.

## Synopsis

`#include <ql/processes/blackscholesprocess.hpp>`

Inherits **GeneralizedBlackScholesProcess**.

### Public Member Functions

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

### 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. ]

**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

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

Fri Sep 23 2016 Version 1.8.1 QuantLib