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QuantLib_BlackProcess
Langue: en
Version: 377836 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BlackProcess -Black (1976) stochastic process.
SYNOPSIS
#include <ql/processes/blackscholesprocess.hpp>
Inherits QuantLib::GeneralizedBlackScholesProcess.
Public Member Functions
BlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))
Detailed Description
Black (1976) stochastic process.
This class describes the stochastic process for a forward or futures contract given by [ dS(t, S) = ac{igma(t, S)^2}{2} dt + igma dW_t. ]
Author
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