forward-measure stochastic process More...

#include <ql/processes/forwardmeasureprocess.hpp>

Inheritance diagram for ForwardMeasureProcess:

Collaboration diagram for ForwardMeasureProcess:

Public Member Functions
virtual void	setForwardMeasureTime (Time)

Time	getForwardMeasureTime () const

Public Member Functions inherited from StochasticProcess
	~StochasticProcess () override=default

virtual Size	size () const =0
	returns the number of dimensions of the stochastic process More...

virtual Size	factors () const
	returns the number of independent factors of the process More...

virtual Array	initialValues () const =0
	returns the initial values of the state variables More...

virtual Array	drift (Time t, const Array &x) const =0
	returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) More...

virtual Matrix	diffusion (Time t, const Array &x) const =0
	returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) More...

virtual Array	expectation (Time t0, const Array &x0, Time dt) const

virtual Matrix	stdDeviation (Time t0, const Array &x0, Time dt) const

virtual Matrix	covariance (Time t0, const Array &x0, Time dt) const

virtual Array	evolve (Time t0, const Array &x0, Time dt, const Array &dw) const

virtual Array	apply (const Array &x0, const Array &dx) const

virtual Time	time (const Date &) const

void	update () override

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Protected Member Functions
	ForwardMeasureProcess ()=default

	ForwardMeasureProcess (Time T)

	ForwardMeasureProcess (const ext::shared_ptr< discretization > &)

Protected Member Functions inherited from StochasticProcess
	StochasticProcess ()=default

	StochasticProcess (ext::shared_ptr< discretization >)

Protected Attributes
Time	T_

Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretization >	discretization_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

forward-measure stochastic process

stochastic process whose dynamics are expressed in the forward measure.

Definition at line 37 of file forwardmeasureprocess.hpp.

Constructor & Destructor Documentation

◆ ForwardMeasureProcess() [1/3]

ForwardMeasureProcess ( )

protecteddefault

◆ ForwardMeasureProcess() [2/3]

ForwardMeasureProcess ( Time T )

explicitprotected

Definition at line 43 of file forwardmeasureprocess.hpp.

◆ ForwardMeasureProcess() [3/3]

ForwardMeasureProcess ( const ext::shared_ptr< discretization > & disc )

explicitprotected

Definition at line 26 of file forwardmeasureprocess.cpp.

Member Function Documentation

◆ setForwardMeasureTime()

void setForwardMeasureTime ( Time T )

virtual

Definition at line 30 of file forwardmeasureprocess.cpp.

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◆ getForwardMeasureTime()

Time getForwardMeasureTime ( ) const

Definition at line 35 of file forwardmeasureprocess.cpp.

Member Data Documentation

◆ T_

Time T_

protected

Definition at line 46 of file forwardmeasureprocess.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members