QuantLib_GarmanKohlagenProcess

Langue: en

Autres versions - même langue

Version: 170804 (fedora - 06/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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 \

Author

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