/usr/include/ql/experimental/processes/extendedblackscholesprocess.hpp is in libquantlib0-dev 1.4-2.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Frank Hövermann
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file extendedblackscholesprocess.hpp
\brief experimental Black-Scholes-Merton process
*/
#ifndef quantlib_extended_black_scholes_process_hpp
#define quantlib_extended_black_scholes_process_hpp
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! experimental Black-Scholes-Merton stochastic process
/*! This class allows to choose a built-in discretization scheme
\ingroup processes
*/
class ExtendedBlackScholesMertonProcess
: public GeneralizedBlackScholesProcess {
public:
enum Discretization { Euler, Milstein, PredictorCorrector };
ExtendedBlackScholesMertonProcess(
const Handle<Quote>& x0,
const Handle<YieldTermStructure>& dividendTS,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& blackVolTS,
const boost::shared_ptr<discretization>& d =
boost::shared_ptr<discretization>(new EulerDiscretization),
Discretization evolDisc = Milstein);
Real drift(Time t, Real x) const;
Real diffusion(Time t, Real x) const;
Real evolve(Time t0, Real x0, Time dt, Real dw) const;
private:
const Discretization discretization_;
};
}
#endif
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