- QuantLib
- BlackProcess
 
Black (1976) stochastic process. More...
#include <ql/processes/blackscholesprocess.hpp>

| 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)) | |
Black (1976) stochastic process.
This class describes the stochastic process for a forward or futures contract given by
![\[ dS(t, S) = \frac{\sigma(t, S)^2}{2} dt + \sigma dW_t. \]](form_330.png)