| 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 | #include <ql/processes/merton76process.hpp> |
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| 23 | #include <utility> |
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| 24 | |
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| 25 | namespace QuantLib { |
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| 26 | |
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| 27 | Merton76Process::Merton76Process(const Handle<Quote>& stateVariable, |
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| 28 | const Handle<YieldTermStructure>& dividendTS, |
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| 29 | const Handle<YieldTermStructure>& riskFreeTS, |
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| 30 | const Handle<BlackVolTermStructure>& blackVolTS, |
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| 31 | Handle<Quote> jumpInt, |
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| 32 | Handle<Quote> logJMean, |
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| 33 | Handle<Quote> logJVol, |
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| 34 | const ext::shared_ptr<discretization>& disc) |
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| 35 | : StochasticProcess1D(disc), blackProcess_( |
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| 36 | new BlackScholesMertonProcess(stateVariable, dividendTS, riskFreeTS, blackVolTS, disc)), |
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| 37 | jumpIntensity_(std::move(jumpInt)), logMeanJump_(std::move(logJMean)), |
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| 38 | logJumpVolatility_(std::move(logJVol)) { |
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| 39 | registerWith(h: blackProcess_); |
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| 40 | registerWith(h: jumpIntensity_); |
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| 41 | registerWith(h: logMeanJump_); |
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| 42 | registerWith(h: logJumpVolatility_); |
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| 43 | } |
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| 44 | |
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| 45 | Real Merton76Process::x0() const { |
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| 46 | return blackProcess_->x0(); |
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| 47 | } |
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| 48 | |
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| 49 | Time Merton76Process::time(const Date& d) const { |
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| 50 | return blackProcess_->time(d); |
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| 51 | } |
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| 52 | |
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| 53 | const Handle<Quote>& Merton76Process::stateVariable() const { |
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| 54 | return blackProcess_->stateVariable(); |
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| 55 | } |
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| 56 | |
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| 57 | const Handle<YieldTermStructure>& Merton76Process::dividendYield() const { |
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| 58 | return blackProcess_->dividendYield(); |
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| 59 | } |
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| 60 | |
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| 61 | const Handle<YieldTermStructure>& Merton76Process::riskFreeRate() const { |
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| 62 | return blackProcess_->riskFreeRate(); |
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| 63 | } |
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| 64 | |
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| 65 | const Handle<BlackVolTermStructure>& |
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| 66 | Merton76Process::blackVolatility() const { |
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| 67 | return blackProcess_->blackVolatility(); |
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| 68 | } |
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| 69 | |
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| 70 | const Handle<Quote>& Merton76Process::jumpIntensity() const { |
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| 71 | return jumpIntensity_; |
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| 72 | } |
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| 73 | |
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| 74 | const Handle<Quote>& Merton76Process::logMeanJump() const { |
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| 75 | return logMeanJump_; |
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| 76 | } |
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| 77 | |
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| 78 | const Handle<Quote>& Merton76Process::logJumpVolatility() const { |
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| 79 | return logJumpVolatility_; |
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| 80 | } |
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| 81 | |
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| 82 | } |
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| 83 | |
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