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
Fields¶
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.
Methods¶
variance¶
void variance (DT dt)
variance calculate the variance
Parameters:
dt | time interval according to the given discretization |
updateDrift¶
void updateDrift (DT dt)
updateDrift calculate the drfit of expectation
Parameters:
dt | time interval according to the given discretization. |
evolve¶
DT evolve ( DT x0, DT dt, DT dw )
calcuate the price value after time dt.
Parameters:
x0 | initial value |
dt | time interval |
dw | random number |
logEvolve¶
DT logEvolve (DT dw)
calcualte the change of logS after time dt.
Parameters:
dw | randon number |