- QuantLib
- GarmanKohlagenProcess
Garman-Kohlhagen (1983) stochastic process. More...
#include <ql/processes/blackscholesprocess.hpp>
Public Member Functions | |
GarmanKohlagenProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< YieldTermStructure > &domesticRiskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) |
Garman-Kohlhagen (1983) stochastic process.
This class describes the stochastic process for an exchange rate given by