27 const std::vector<ext::shared_ptr<StochasticProcess1D> >& processes,
29 : processes_(processes),
32 QL_REQUIRE(!processes.empty(),
"no processes given");
34 "mismatch between number of processes "
35 "and size of correlation matrix");
54 const Array& x)
const {
62 const Array& x)
const {
68 [=](
Real x) ->
Real { return x * sigma; });
90 [=](
Real x) ->
Real { return x * sigma; });
113 const Array& dx)
const {
124 const ext::shared_ptr<StochasticProcess1D>&
1-D array used in linear algebra.
Matrix used in linear algebra.
const_row_iterator row_begin(Size i) const
const_row_iterator row_end(Size i) const
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Array drift(Time t, const Array &x) const override
returns the drift part of the equation, i.e.,
Size size() const override
returns the number of dimensions of the stochastic process
Array evolve(Time t0, const Array &x0, Time dt, const Array &dw) const override
const ext::shared_ptr< StochasticProcess1D > & process(Size i) const
Matrix diffusion(Time t, const Array &x) const override
returns the diffusion part of the equation, i.e.
Time time(const Date &) const override
StochasticProcessArray(const std::vector< ext::shared_ptr< StochasticProcess1D > > &, const Matrix &correlation)
Matrix stdDeviation(Time t0, const Array &x0, Time dt) const override
Matrix covariance(Time t0, const Array &x0, Time dt) const override
Array expectation(Time t0, const Array &x0, Time dt) const override
Array initialValues() const override
returns the initial values of the state variables
Array apply(const Array &x0, const Array &dx) const override
Matrix correlation() const
std::vector< ext::shared_ptr< StochasticProcess1D > > processes_
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
Matrix pseudoSqrt(const Matrix &matrix, SalvagingAlgorithm::Type sa)
Matrix transpose(const Matrix &m)
pseudo square root of a real symmetric matrix
Array of correlated 1-D stochastic processes.
algorithm used for matricial pseudo square root