| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2003 Ferdinando Ametrano |
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| 5 | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
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| 6 | Copyright (C) 2004, 2005 StatPro Italia srl |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | /*! \file merton76process.hpp |
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| 23 | \brief Merton-76 process |
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| 24 | */ |
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| 25 | |
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| 26 | #ifndef quantlib_merton_76_process_hpp |
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| 27 | #define quantlib_merton_76_process_hpp |
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| 28 | |
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| 29 | #include <ql/processes/blackscholesprocess.hpp> |
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| 30 | #include <ql/processes/eulerdiscretization.hpp> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | //! Merton-76 jump-diffusion process |
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| 35 | /*! \ingroup processes */ |
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| 36 | class Merton76Process : public StochasticProcess1D { |
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| 37 | public: |
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| 38 | Merton76Process(const Handle<Quote>& stateVariable, |
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| 39 | const Handle<YieldTermStructure>& dividendTS, |
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| 40 | const Handle<YieldTermStructure>& riskFreeTS, |
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| 41 | const Handle<BlackVolTermStructure>& blackVolTS, |
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| 42 | Handle<Quote> jumpInt, |
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| 43 | Handle<Quote> logJMean, |
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| 44 | Handle<Quote> logJVol, |
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| 45 | const ext::shared_ptr<discretization>& d = |
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| 46 | ext::shared_ptr<discretization>(new EulerDiscretization)); |
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| 47 | //! \name StochasticProcess1D interface |
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| 48 | //@{ |
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| 49 | Real x0() const override; |
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| 50 | Real drift(Time, Real) const override { QL_FAIL("Merton76Process does not implement drift" ); } |
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| 51 | Real diffusion(Time, Real) const override { QL_FAIL("Merton76Process does not implement diffusion" ); } |
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| 52 | Real apply(Real, Real) const override { QL_FAIL("Merton76Process does not implement apply" ); } |
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| 53 | //@} |
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| 54 | Time time(const Date&) const override; |
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| 55 | //! \name Inspectors |
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| 56 | //@{ |
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| 57 | const Handle<Quote>& stateVariable() const; |
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| 58 | const Handle<YieldTermStructure>& dividendYield() const; |
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| 59 | const Handle<YieldTermStructure>& riskFreeRate() const; |
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| 60 | const Handle<BlackVolTermStructure>& blackVolatility() const; |
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| 61 | const Handle<Quote>& jumpIntensity() const; |
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| 62 | const Handle<Quote>& logMeanJump() const; |
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| 63 | const Handle<Quote>& logJumpVolatility() const; |
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| 64 | //@} |
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| 65 | private: |
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| 66 | ext::shared_ptr<GeneralizedBlackScholesProcess> blackProcess_; |
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| 67 | Handle<Quote> jumpIntensity_, logMeanJump_, logJumpVolatility_; |
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| 68 | }; |
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| 69 | |
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| 70 | } |
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| 71 | |
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| 72 | |
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| 73 | #endif |
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| 74 | |
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