Re: Usage for StochProcess

Posted by animesh on
URL: http://quantlib.414.s1.nabble.com/Usage-for-StochProcess-tp8608p8609.html

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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