Re: [Quantlib-dev] Poisson process

[james h. <j_h...@ya...>]

Yes, a Gamma process would be good to have, not just for VG. 

Maybe the best way to implement VG is to use Brownian motion with a random time 
change given by the gamma process. I'm not sure of the pros and cons versus 
taking the difference of two gamma processes, or of approximating VG by a 
compound Poisson process. 

James


----- Original Message ----
From: animesh saxena <ani...@gm...>
To: james hirschorn <j_h...@ya...>
Cc: qua...@li...; qua...@li...
Sent: Mon, July 19, 2010 7:22:54 PM
Subject: Re: [Quantlib-dev] [Quantlib-users] Poisson process

  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<dho...@gm...>
> To: james hirschorn<j_h...@ya...>
> 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
>p
>
> 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<j_h...@ya...>  
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)