24 lines
629 B
C++
24 lines
629 B
C++
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//
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// Created by David Doebel on 06.03.2026.
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//
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#include "BlackScholesProcess.hpp"
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double BlackScholesProcess::drift(double t, double s) {
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double r = this->data().yield_curve().zeroRate(t);
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return r * s;
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}
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double BlackScholesProcess::diffusion(double t, double s) {
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double sigma = this->data().volatility_surface().sigma(s,t);
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return sigma*s;
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}
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double BlackScholesProcess::step(double t, double s, double dt, double dW) {
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double r = this->data().yield_curve().zeroRate(t);
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double sigma = this->data().volatility_surface().sigma(s,t);
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return s*exp((r-0.5*sigma*sigma)*dt + sigma*sqrt(dt)*dW);
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}
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