Re: [Quantlib-dev] Poisson process

Posted by animesh on Jul 19, 2010; 11:22pm
URL: http://quantlib.414.s1.nabble.com/Poisson-process-tp418p421.html

  Why not just have a gamma process. it will solve both the issues.

VG Process can be coded via difference of two gamma processes
Also it's more generic compared to PoissonProcess

Am also missing processes which allow fat tailed distributions in Quantlib


On 7/19/10 9:09 PM, james hirschorn wrote:

> Thanks Dima and Dominik,
>
> (1) If you don't mind a comment by a newbie: I think the documentation for
> StochasticProcess and StochasticProcess1D is misleading. The Detailed
> Description does not mention the possibility of including jump processes in
> derived classes.
>
> (2) Is there any point in implementing a PoissonProcess class?
>
> (3) The reason for my original question was that I was looking for the Variance
> Gamma process. Is there some plan to implement this?
>
> James
>
>
> ----- Original Message ----
> From: Dominik Holenstein<[hidden email]>
> To: james hirschorn<[hidden email]>
> Sent: Mon, July 19, 2010 2:22:38 AM
> Subject: Re: [Quantlib-users] Poisson process
>
> Poisson distribution is here:
> Quantlib\QuantLib-1.0.1\ql\math\distributions\poissondistribution.hpp
>
> Used here:
> Quantlib\QuantLib-1.0.1\ql\pricingengines\vanilla\batesengine.hpp/batesengine.cpp
>
> Quantlib\QuantLib-1.0.1\ql\processes\batesprocess.hpp/batesprocess.cpp
> Quantlib\QuantLib-1.0.1\ql\math\randomnumbers\rngtraits.hpp
>
> Dominik
>
>
>
>
> On Mon, Jul 19, 2010 at 2:43 AM, james hirschorn<[hidden email]>  wrote:
>> Looking at the documentation, it appears that QuantLib only implements
>> stochastic processes based on Brownian motion, i.e. Ito processes.
>>
>> Is this correct? There is no Poisson process for example?
>>
>> Thanks,
>> J
>>
>>
>>
>>
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--
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)


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