Black-Scholes (1973) stochastic process
This class describes the stochastic process $ S $ for a stock given by $$ d\ln S(t) = (r(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. $$
warning while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.
todo revise extrapolation
warning in general raises a "not implemented" exception. It should be rewritten to return the expectation E(S) of the process, not exp(E(log S)).
returns the number of independent factors of the process
Black-Scholes (1973) stochastic process
This class describes the stochastic process $ S $ for a stock given by $$ d\ln S(t) = (r(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. $$
warning while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.