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Usage for StochProcess

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Krupakar Manukonda

Usage for StochProcess

Hi,

I am relatively new for Quantlib/Boost .

To start with, I am trying to test EuropeanOption by creating a new project.

Is there any wrong with the declaration of stochProcess?

Could someone please help me with this?

Regards,

Krupakar

boost::shared_ptr<GeneralizedBlackScholesProcess> stochProcess(

new BlackScholesMertonProcess(Handle<SimpleQuote>(spot),

Handle<YieldTermStructure>(qTS),

Handle<YieldTermStructure>(rTS),

Handle<BlackVolTermStructure>(vol)));

I get the following error:

error C2440: '<function-style-cast>' : cannot convert from 'boost::shared_ptr<T>' to 'QuantLib::Handle<T>'

1> with

1> [

1> T=QuantLib::SimpleQuote

1> ]

1> and

1> [

1> T=QuantLib::BlackVolTermStructure

1> ]

1> No constructor could take the source type, or constructor overload resolution was ambiguous

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animesh

Re: Usage for StochProcess

I am not sure what spot, qTS and rTS variables are in your code, but I think you have used double types or something like that. They are actually classes.
See the code below. Hope this helps.....

Calendar calendar = TARGET();
Date todaysDate(9, Jan, 2010);
Date settlementDate(9, Jan, 2011);
Settings::instance().evaluationDate() = todaysDate;
Option::Type type(Option::Call);
Real underlying = 99;
Real strike = 100;
Spread dividendYield = 0.00;
Rate riskFreeRate = 0.06;
Volatility volatility = 0.20;
Date maturity(9, Jan, 2011);
DayCounter dcounter = Actual365Fixed();

Handle<Quote> spot(boost::shared_ptr<Quote>(new SimpleQuote(underlying)));
Handle<YieldTermStructure> qTS(
                               boost::shared_ptr<YieldTermStructure>(
                                                                    new FlatForward(settlementDate, dividendYield, dcounter)));

Handle<YieldTermStructure> rTS(
                               boost::shared_ptr<YieldTermStructure>(
                                                                    new FlatForward(settlementDate, riskFreeRate, dcounter)));
Handle<BlackVolTermStructure> vol(
                                boost::shared_ptr<BlackVolTermStructure>(
                                                                           new BlackConstantVol(settlementDate, calendar, volatility,
                                                                                                dayCounter)));

boost::shared_ptr<GeneralizedBlackScholesProcess> stochProcess(

                                                               new BlackScholesMertonProcess(spot,
                                                                                            qTS,

                                                                                            rTS,

                                                                                            vol));

On 7/15/10 12:51 AM, Krupakar Manukonda wrote:

Hi,

I am relatively new for Quantlib/Boost .

To start with, I am trying to test EuropeanOption by creating a new project.

Is there any wrong with the declaration of stochProcess?

Could someone please help me with this?

Regards,

Krupakar

boost::shared_ptr<GeneralizedBlackScholesProcess> stochProcess(
new BlackScholesMertonProcess(Handle<SimpleQuote>(spot),
Handle<YieldTermStructure>(qTS),

Handle<YieldTermStructure>(rTS),

Handle<BlackVolTermStructure>(vol)));

I get the following error:

error C2440: '<function-style-cast>' : cannot convert from 'boost::shared_ptr<T>' to 'QuantLib::Handle<T>'

1> with

1> [

1> T=QuantLib::SimpleQuote

1> ]

1> and

1> [

1> T=QuantLib::BlackVolTermStructure

1> ]

1> No constructor could take the source type, or constructor overload resolution was ambiguous
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-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)