template class xf::fintech::BSModel¶

#include "bs_model.hpp"

Overview¶

Black-Scholes process.

Parameters:

DT	data type supported include float and double.

template <typename DT>
class BSModel

// fields

DT riskFreeRate
DT dividendYield
DT volatility
DT var
DT stdDev
DT drift

DT riskFreeRate

risk-free interest rate.

DT dividendYield

the constant dividend rate for continuous dividends.

DT volatility

volatility of stock price.

DT var

variance of change in stock price after time interval dt.

DT stdDev

standard deviation of change in stock price after time interval dt according to the given discretization.

DT drift

drift of stock price after time interval dt.

BSModel ()

constructor

void variance (DT dt)

variance calculate the variance

Parameters:

dt	time interval according to the given discretization

void stdDeviation ()

stdDeviation calculate standard variance

void updateDrift (DT dt)

updateDrift calculate the drfit of expectation

Parameters:

dt	time interval according to the given discretization.

DT evolve (
    DT x0,
    DT dt,
    DT dw
    )

calcuate the price value after time dt.

Parameters:

DT logEvolve (DT dw)

calcualte the change of logS after time dt.

Parameters:

dw	randon number