BlackProcess Class Reference
Black (1976) stochastic process. More...
#include <ql/processes/blackscholesprocess.hpp>
Inheritance diagram for BlackProcess:

Public Member Functions | |
BlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) |
Detailed Description
Black (1976) stochastic process.
This class describes the stochastic process for a forward or futures contract given by