org.jquantlib.processes

Class GeneralizedBlackScholesProcess

java.lang.Object

org.jquantlib.processes.StochasticProcess

org.jquantlib.processes.StochasticProcess1D

org.jquantlib.processes.GeneralizedBlackScholesProcess

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

BlackScholesMertonProcess

public class GeneralizedBlackScholesProcess
extends StochasticProcess1D

Generalized Black-Scholes stochastic process

This class describes the stochastic process governed by

{2}) dt + \sigma dW_t. }

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess1D

StochasticProcess1D.Discretization1D

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess

StochasticProcess.Discretization

Constructor Summary

Constructors

Constructor and Description
GeneralizedBlackScholesProcess(Handle<? extends Quote> x0, Handle<YieldTermStructure> dividendTS, Handle<YieldTermStructure> riskFreeTS, Handle<BlackVolTermStructure> blackVolTS)
GeneralizedBlackScholesProcess(Handle<? extends Quote> x0, Handle<YieldTermStructure> dividendTS, Handle<YieldTermStructure> riskFreeTS, Handle<BlackVolTermStructure> blackVolTS, StochasticProcess1D.Discretization1D discretization)

Method Summary

Modifier and Type	Method and Description
double	apply(double x0, double dx) Applies a change to the asset value.
Handle<BlackVolTermStructure>	blackVolatility()
double	diffusion(double t, double x) Returns the diffusion part of the equation, i.e.
Handle<YieldTermStructure>	dividendYield()
double	drift(double t, double x) Returns the drift part of the equation
Handle<LocalVolTermStructure>	localVolatility()
Handle<YieldTermStructure>	riskFreeRate()
Handle<? extends Quote>	stateVariable()
double	time(Date d) Returns the time value corresponding to the given date in the reference system of the stochastic process.
void	update() This method is called whenever the observed object is changed.
double	x0() Returns the initial value of the state variable

Methods inherited from class org.jquantlib.processes.StochasticProcess1D

apply, covariance, diffusion, drift, evolve, evolve, expectation, expectation, initialValues, size, stdDeviation, stdDeviation, variance

Methods inherited from class org.jquantlib.processes.StochasticProcess

addObserver, countObservers, deleteObserver, deleteObservers, factors, getObservers, notifyObservers, notifyObservers

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GeneralizedBlackScholesProcess

public GeneralizedBlackScholesProcess(Handle<? extends Quote> x0,
                                      Handle<YieldTermStructure> dividendTS,
                                      Handle<YieldTermStructure> riskFreeTS,
                                      Handle<BlackVolTermStructure> blackVolTS)

Parameters:

discretization - is an Object that must implement Discretization and Discretization1D.

GeneralizedBlackScholesProcess

public GeneralizedBlackScholesProcess(Handle<? extends Quote> x0,
                                      Handle<YieldTermStructure> dividendTS,
                                      Handle<YieldTermStructure> riskFreeTS,
                                      Handle<BlackVolTermStructure> blackVolTS,
                                      StochasticProcess1D.Discretization1D discretization)

Parameters:

discretization - is an Object that must implement Discretization and Discretization1D.

Method Detail

stateVariable

public final Handle<? extends Quote> stateVariable()

dividendYield

public final Handle<YieldTermStructure> dividendYield()

riskFreeRate

public final Handle<YieldTermStructure> riskFreeRate()

blackVolatility

public final Handle<BlackVolTermStructure> blackVolatility()

localVolatility

public final Handle<LocalVolTermStructure> localVolatility()

x0

public double x0()

Description copied from class: StochasticProcess1D

Returns the initial value of the state variable

Specified by:

x0 in class StochasticProcess1D

drift

public double drift(double t,
                    double x)

Description copied from class: StochasticProcess1D

Returns the drift part of the equation

Specified by:

drift in class StochasticProcess1D

diffusion

public double diffusion(double t,
                        double x)

Description copied from class: StochasticProcess1D

Returns the diffusion part of the equation, i.e.

Specified by:

diffusion in class StochasticProcess1D

apply

public final double apply(double x0,
                          double dx)

Description copied from class: StochasticProcess1D

Applies a change to the asset value. By default, it returns .

Overrides:

apply in class StochasticProcess1D

time

public final double time(Date d)

Description copied from class: StochasticProcess

Returns the time value corresponding to the given date in the reference system of the stochastic process.

Overrides:

time in class StochasticProcess

update

public final void update()

Description copied from interface: Observer

This method is called whenever the observed object is changed.

Specified by:

update in interface Observer

Overrides:

update in class StochasticProcess