QuantLib_Merton76Process man page

Merton76Process — Merton-76 jump-diffusion process.


#include <ql/processes/merton76process.hpp>

Inherits StochasticProcess1D.

Public Member Functions

Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< Quote > &jumpInt, const Handle< Quote > &logJMean, const Handle< Quote > &logJVol, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))

Time time (const Date &) const

StochasticProcess1D interface

Real x0 () const
returns the initial value of the state variable
Real drift (Time, Real) const
returns the drift part of the equation, i.e. $ mu(t, x_t) $
Real diffusion (Time, Real) const
returns the diffusion part of the equation, i.e. $ sigma(t, x_t) $
Real apply (Real, Real) const


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

Detailed Description

Merton-76 jump-diffusion process.

Member Function Documentation

Real apply (Real x0, Real dx) const [virtual]

applies a change to the asset value. By default, it returns $ x + Delta x $.

Reimplemented from StochasticProcess1D.

Time time (const Date &) const [virtual]

returns the time value corresponding to the given date in the reference system of the stochastic process.


As a number of processes might not need this functionality, a default implementation is given which raises an exception.

Reimplemented from StochasticProcess.


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Referenced By

logJumpVolatility(3), logMeanJump(3) and Merton76Process(3) are aliases of QuantLib_Merton76Process(3).

QuantLib Version 1.8.1 Fri Sep 23 2016