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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