org.jquantlib.processes

Class Merton76Process

java.lang.Object

org.jquantlib.processes.StochasticProcess

org.jquantlib.processes.StochasticProcess1D

org.jquantlib.processes.Merton76Process

All Implemented Interfaces:

Observable, Observer

public class Merton76Process
extends StochasticProcess1D

Merton-76 jump diffusion process

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
Merton76Process(Handle<? extends Quote> stateVariable, Handle<YieldTermStructure> dividendTS, Handle<YieldTermStructure> riskFreeTS, Handle<BlackVolTermStructure> blackVolTS, Handle<? extends Quote> jumpInt, Handle<? extends Quote> logJMean, Handle<? extends Quote> logJVol)

Method Summary

Modifier and Type	Method and Description
double	apply(double x, double y) 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<? extends Quote>	jumpIntensity()
Handle<? extends Quote>	logJumpVolatility()
Handle<? extends Quote>	logMeanJump()
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.
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, update

Methods inherited from class java.lang.Object

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

Constructor Detail

Merton76Process

public Merton76Process(Handle<? extends Quote> stateVariable,
                       Handle<YieldTermStructure> dividendTS,
                       Handle<YieldTermStructure> riskFreeTS,
                       Handle<BlackVolTermStructure> blackVolTS,
                       Handle<? extends Quote> jumpInt,
                       Handle<? extends Quote> logJMean,
                       Handle<? extends Quote> logJVol)

Method Detail

stateVariable

public Handle<? extends Quote> stateVariable()

dividendYield

public Handle<YieldTermStructure> dividendYield()

riskFreeRate

public Handle<YieldTermStructure> riskFreeRate()

blackVolatility

public Handle<BlackVolTermStructure> blackVolatility()

jumpIntensity

public Handle<? extends Quote> jumpIntensity()

logMeanJump

public Handle<? extends Quote> logMeanJump()

logJumpVolatility

public Handle<? extends Quote> logJumpVolatility()

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 double apply(double x,
                    double y)

Description copied from class: StochasticProcess1D

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

Overrides:

apply in class StochasticProcess1D

time

public 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