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QuantLib_GarmanKohlagenProcess
Langue: en
Version: 383046 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::GarmanKohlagenProcess -Garman-Kohlhagen (1983) stochastic process.
SYNOPSIS
#include <ql/processes/blackscholesprocess.hpp>
Inherits QuantLib::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))
Detailed Description
Garman-Kohlhagen (1983) stochastic process.
This class describes the stochastic process for an exchange rate given by [ dS(t, S) = (r(t) - r_f(t) - ac{igma(t, S)^2}{2}) dt + igma dW_t. ]
Author
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