GarmanKohlagenProcess (3) Linux Manual Page
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 [ dS(t, S) = (r(t) – r_f(t) – ac{igma(t, S)^2}{2}) dt + igma dW_t. ]