QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | Protected Attributes | List of all members
GsrProcess Class Reference

GSR stochastic process. More...

#include <ql/processes/gsrprocess.hpp>

+ Inheritance diagram for GsrProcess:

Public Member Functions

 GsrProcess (const Array &times, const Array &vols, const Array &reversions, const Real T=60.0)
 
void setForwardMeasureTime (Time t)
 
void flushCache () const
 
StochasticProcess1D interface
Real x0 () const
 returns the initial value of the state variable
 
Real drift (Time t, Real x) const
 returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
 
Real diffusion (Time t, Real) const
 returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
 
Real expectation (Time t0, Real x0, Time dt) const
 
Real stdDeviation (Time t0, Real x0, Time dt) const
 
Real variance (Time t0, Real, Time dt) const
 
Real sigma (Time t) const
 
Real reversion (Time t) const
 
Real y (Time t) const
 
Real G (Time t, Time T, Real x) const
 
- Public Member Functions inherited from ForwardMeasureProcess1D
Time getForwardMeasureTime () const
 
- Public Member Functions inherited from StochasticProcess1D
virtual Real evolve (Time t0, Real x0, Time dt, Real dw) const
 
virtual Real apply (Real x0, Real dx) const
 
- Public Member Functions inherited from StochasticProcess
virtual Size factors () const
 returns the number of independent factors of the process
 
virtual Time time (const Date &) const
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

const Arraytimes_
 
const Arrayvols_
 
const Arrayreversions_
 
- Protected Attributes inherited from ForwardMeasureProcess1D
Time T_
 
- Protected Attributes inherited from StochasticProcess1D
boost::shared_ptr< discretizationdiscretization_
 
- Protected Attributes inherited from StochasticProcess
boost::shared_ptr< discretizationdiscretization_
 

Additional Inherited Members

- Protected Member Functions inherited from ForwardMeasureProcess1D
 ForwardMeasureProcess1D (Time T)
 
 ForwardMeasureProcess1D (const boost::shared_ptr< discretization > &)
 
- Protected Member Functions inherited from StochasticProcess1D
 StochasticProcess1D (const boost::shared_ptr< discretization > &)
 
- Protected Member Functions inherited from StochasticProcess
 StochasticProcess (const boost::shared_ptr< discretization > &)
 

Detailed Description

GSR stochastic process.

Member Function Documentation

Real expectation ( Time  t0,
Real  x0,
Time  dt 
) const
virtual

returns the expectation \( E(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.

Real stdDeviation ( Time  t0,
Real  x0,
Time  dt 
) const
virtual

returns the standard deviation \( S(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.

Real variance ( Time  t0,
Real  x0,
Time  dt 
) const
virtual

returns the variance \( V(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.