GSR stochastic process. More...
#include <ql/processes/gsrprocess.hpp>
Inheritance diagram for GsrProcess:Public Member Functions | |
| GsrProcess (const Array ×, const Array &vols, const Array &reversions, Real T=60.0, const Date &referenceDate=Null< Date >(), const DayCounter &dc=DayCounter()) | |
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 | time (const Date &d) 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 | |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
ForwardMeasureProcess1D interface | |
| void | setForwardMeasureTime (Time t) |
| Real | sigma (Time t) const |
| additional inspectors | |
| Real | reversion (Time t) const |
| Real | y (Time t) const |
| Real | G (Time t, Time T, Real x) const |
| void | flushCache () const |
| reset cache | |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from ForwardMeasureProcess1D | |
| ForwardMeasureProcess1D (Time T) | |
| ForwardMeasureProcess1D (const ext::shared_ptr< discretization > &) | |
Protected Member Functions inherited from StochasticProcess1D | |
| StochasticProcess1D () | |
| StochasticProcess1D (const ext::shared_ptr< discretization > &) | |
Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess () | |
| StochasticProcess (const ext::shared_ptr< discretization > &) | |
Protected Attributes inherited from ForwardMeasureProcess1D | |
| Time | T_ |
Protected Attributes inherited from StochasticProcess1D | |
| ext::shared_ptr< discretization > | discretization_ |
Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
GSR stochastic process.
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.
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.
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.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.