QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
ForwardMeasureProcess Class Reference

forward-measure stochastic process More...

#include <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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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< discretizationdiscretization_
 

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.