Forward G2 stochastic process More...
#include <ql/processes/g2process.hpp>
Public Member Functions | |
G2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) | |
StochasticProcess interface | |
Size | size () const |
returns the number of dimensions of the stochastic process | |
Disposable< Array > | initialValues () const |
returns the initial values of the state variables | |
Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) | |
Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) | |
Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
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virtual void | setForwardMeasureTime (Time) |
Time | getForwardMeasureTime () const |
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virtual Size | factors () const |
returns the number of independent factors of the process | |
virtual Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
virtual Disposable< Array > | apply (const Array &x0, const Array &dx) const |
virtual Time | time (const Date &) const |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
Real | xForwardDrift (Time t, Time T) const |
Real | yForwardDrift (Time t, Time T) const |
Real | Mx_T (Real s, Real t, Real T) const |
Real | My_T (Real s, Real t, Real T) const |
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ForwardMeasureProcess (Time T) | |
ForwardMeasureProcess (const boost::shared_ptr< discretization > &) | |
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StochasticProcess (const boost::shared_ptr< discretization > &) | |
Protected Attributes | |
Real | x0_ |
Real | y0_ |
Real | a_ |
Real | sigma_ |
Real | b_ |
Real | eta_ |
Real | rho_ |
boost::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > | xProcess_ |
boost::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > | yProcess_ |
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Time | T_ |
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boost::shared_ptr< discretization > | discretization_ |
Forward G2 stochastic process
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virtual |
returns the expectation \( E(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess.
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virtual |
returns the standard deviation \( S(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess.
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virtual |
returns the covariance \( V(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess.