QuantLib 0.3.7 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

Merton76Process Class Reference #include <ql/stochasticprocess.hpp> Inheritance diagram for Merton76Process: [legend]List of all members. Detailed Description Merton-76 jump-diffusion process. Public Member Functions   Merton76Process (const RelinkableHandle< Quote > &stateVariable, const RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< BlackVolTermStructure > &blackVolTS, const RelinkableHandle< Quote > &jumpInt, const RelinkableHandle< Quote > &logJMean, const RelinkableHandle< Quote > &logJVol, const boost::shared_ptr< StochasticProcess::discretization > &d=boost::shared_ptr< StochasticProcess::discretization >(new EulerDiscretization)) StochasticProcess interface Real  drift (Time, Real) const Real  diffusion (Time, Real) const Inspectors const boost::shared_ptr< Quote > &  jumpIntensity () const const boost::shared_ptr< Quote > &  logMeanJump () const const boost::shared_ptr< Quote > &  logJumpVolatility () const Member Function Documentation Real drift (  Time  , Real  )  const [virtual]   Todo: revise extrapolation Reimplemented from BlackScholesProcess. Real diffusion (  Time  , Real  )  const [virtual]   Todo: revise extrapolation Reimplemented from BlackScholesProcess.

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