- 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
![\[ dS(t, S) = (r(t) - r_f(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. \]](form_331.png)