QuantLib_GarmanKohlagenProcess (3) - Linux Manuals

QuantLib_GarmanKohlagenProcess: Garman-Kohlhagen (1983) stochastic process.


QuantLib::GarmanKohlagenProcess - Garman-Kohlhagen (1983) stochastic process.


#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. ]


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