public BlackProcess(Handle <Quote> x0,
Handle <YieldTermStructure> riskFreeTS,
Handle <BlackVolTermStructure> blackVolTS,
IDiscretization1D d)
: base(x0, riskFreeTS, riskFreeTS, blackVolTS, d)
{
}
public BlackProcess(Handle<Quote> x0,
Handle<YieldTermStructure> riskFreeTS,
Handle<BlackVolTermStructure> blackVolTS,
IDiscretization1D d)
: base(x0, riskFreeTS, riskFreeTS, blackVolTS, d)
{
}
public BlackScholesMertonProcess(Handle <Quote> x0,
Handle <YieldTermStructure> dividendTS,
Handle <YieldTermStructure> riskFreeTS,
Handle <BlackVolTermStructure> blackVolTS,
IDiscretization1D d)
: base(x0, dividendTS, riskFreeTS, blackVolTS, d)
{
}
public GarmanKohlagenProcess(Handle <Quote> x0, Handle <YieldTermStructure> foreignRiskFreeTS,
Handle <YieldTermStructure> domesticRiskFreeTS,
Handle <BlackVolTermStructure> blackVolTS,
RelinkableHandle <LocalVolTermStructure> localVolTS,
IDiscretization1D d = null)
: base(x0, foreignRiskFreeTS, domesticRiskFreeTS, blackVolTS, localVolTS, d)
{
}
public SquareRootProcess(double b, double a, double sigma, double x0, IDiscretization1D disc)
: base(disc)
{
x0_ = x0;
mean_ = b;
speed_ = a;
volatility_ = sigma;
}
public SquareRootProcess(double b, double a, double sigma, double x0, IDiscretization1D disc)
: base(disc)
{
x0_ = x0;
mean_ = b;
speed_ = a;
volatility_ = sigma;
}
public BlackScholesProcess(Handle <Quote> x0,
Handle <YieldTermStructure> riskFreeTS,
Handle <BlackVolTermStructure> blackVolTS,
IDiscretization1D d)
: base(x0,
// no dividend yield
new Handle <YieldTermStructure>(new FlatForward(0, new NullCalendar(), 0.0, new Actual365Fixed())),
riskFreeTS, blackVolTS, d)
{
}
public GeneralizedBlackScholesProcess(Handle <Quote> x0, Handle <YieldTermStructure> dividendTS,
Handle <YieldTermStructure> riskFreeTS, Handle <BlackVolTermStructure> blackVolTS,
IDiscretization1D disc)
: base(disc)
{
x0_ = x0;
riskFreeRate_ = riskFreeTS;
dividendYield_ = dividendTS;
blackVolatility_ = blackVolTS;
updated_ = false;
x0_.registerWith(update);
riskFreeRate_.registerWith(update);
dividendYield_.registerWith(update);
blackVolatility_.registerWith(update);
}
protected ForwardMeasureProcess1D(IDiscretization1D disc)
: base(disc)
{
}
protected StochasticProcess1D(IDiscretization1D disc)
{
discretization_ = disc;
}
protected StochasticProcess1D(IDiscretization1D disc)
{
discretization_ = disc;
}
public GeneralizedBlackScholesProcess(Handle <Quote> x0, Handle <YieldTermStructure> dividendTS,
Handle <YieldTermStructure> riskFreeTS, Handle <BlackVolTermStructure> blackVolTS,
RelinkableHandle <LocalVolTermStructure> localVolTS, IDiscretization1D disc = null)
: base(disc ?? new EulerDiscretization())
{
x0_ = x0;
riskFreeRate_ = riskFreeTS;
dividendYield_ = dividendTS;
blackVolatility_ = blackVolTS;
localVolatility_ = localVolTS != null ? (localVolTS.empty() ? new RelinkableHandle <LocalVolTermStructure>() : localVolTS)
: new RelinkableHandle <LocalVolTermStructure>();
updated_ = !localVolatility_.empty();
x0_.registerWith(update);
riskFreeRate_.registerWith(update);
dividendYield_.registerWith(update);
blackVolatility_.registerWith(update);
localVolatility_.registerWith(update);
}
public BlackScholesProcess(Handle<Quote> x0,
Handle<YieldTermStructure> riskFreeTS,
Handle<BlackVolTermStructure> blackVolTS,
IDiscretization1D d)
: base(x0,
// no dividend yield
new Handle<YieldTermStructure>(new FlatForward(0, new NullCalendar(), 0.0, new Actual365Fixed())),
riskFreeTS, blackVolTS, d)
{
}
public GarmanKohlagenProcess(Handle<Quote> x0, Handle<YieldTermStructure> foreignRiskFreeTS,
Handle<YieldTermStructure> domesticRiskFreeTS,
Handle<BlackVolTermStructure> blackVolTS, IDiscretization1D d)
: base(x0, foreignRiskFreeTS, foreignRiskFreeTS, blackVolTS, d)
{
}
public GeneralizedBlackScholesProcess(Handle<Quote> x0, Handle<YieldTermStructure> dividendTS,
Handle<YieldTermStructure> riskFreeTS, Handle<BlackVolTermStructure> blackVolTS,
IDiscretization1D disc)
: base(disc)
{
x0_ = x0;
riskFreeRate_ = riskFreeTS;
dividendYield_ = dividendTS;
blackVolatility_ = blackVolTS;
updated_ = false;
x0_.registerWith(update);
riskFreeRate_.registerWith(update);
dividendYield_.registerWith(update);
blackVolatility_.registerWith(update);
}
public BlackScholesMertonProcess(Handle<Quote> x0,
Handle<YieldTermStructure> dividendTS,
Handle<YieldTermStructure> riskFreeTS,
Handle<BlackVolTermStructure> blackVolTS,
IDiscretization1D d)
: base(x0, dividendTS, riskFreeTS, blackVolTS, d)
{
}
public GarmanKohlagenProcess(Handle <Quote> x0, Handle <YieldTermStructure> foreignRiskFreeTS,
Handle <YieldTermStructure> domesticRiskFreeTS,
Handle <BlackVolTermStructure> blackVolTS, IDiscretization1D d)
: base(x0, foreignRiskFreeTS, foreignRiskFreeTS, blackVolTS, d)
{
}
