Package org.jquantlib.processes

Examples of org.jquantlib.processes.Merton76Process

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        final SimpleQuote jumpIntensity = new SimpleQuote(0.0);
        final SimpleQuote meanLogJump   = new SimpleQuote(0.0);
        final SimpleQuote jumpVol       = new SimpleQuote(0.0);

        final Merton76Process stochProcess = new Merton76Process(
                new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
                new Handle<BlackVolTermStructure>(volTS),
                new Handle<Quote>(jumpIntensity),
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        final SimpleQuote jumpIntensity = new SimpleQuote(0.0);
        final SimpleQuote meanLogJump   = new SimpleQuote(0.0);
        final SimpleQuote jumpVol       = new SimpleQuote(0.0);

        final Merton76Process stochProcess = new Merton76Process(
                new Handle<Quote>(spot),
                new Handle<YieldTermStructure>(qTS),
                new Handle<YieldTermStructure>(rTS),
                new Handle<BlackVolTermStructure>(volTS),
                new Handle<Quote>(jumpIntensity),
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Related Classes of org.jquantlib.processes.Merton76Process

  • org.jquantlib.testsuite.pricingengines.JumpDiffusionEngineTest
  • org.jquantlib.lang.exceptions.LibraryException
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