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GeneralizedOrnsteinUhlenbeckProcess Class Reference

Piecewise linear Ornstein-Uhlenbeck process class. More...

#include <generalizedornsteinuhlenbeckprocess.hpp>

+ Inheritance diagram for GeneralizedOrnsteinUhlenbeckProcess:
+ Collaboration diagram for GeneralizedOrnsteinUhlenbeckProcess:

Public Member Functions

 GeneralizedOrnsteinUhlenbeckProcess (ext::function< Real(Time)> speed, ext::function< Real(Time)> vol, Real x0=0.0, Real level=0.0)
 
- 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
 ~StochasticProcess () override=default
 
virtual Size factors () const
 returns the number of independent factors of the process More...
 
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 ()
 

StochasticProcess1D interface

Real x0_
 
Real level_
 
ext::function< Real(Time)> speed_
 
ext::function< Real(Time)> volatility_
 
Real x0 () const override
 returns the initial value of the state variable More...
 
Real drift (Time t, Real x) const override
 returns the drift part of the equation, i.e. \( \mu(t, x_t) \) More...
 
Real diffusion (Time t, Real x) const override
 returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) More...
 
Real expectation (Time t0, Real x0, Time dt) const override
 
Real stdDeviation (Time t0, Real x0, Time dt) const override
 
Real variance (Time t0, Real x0, Time dt) const override
 
Real speed (Time t) const
 
Real volatility (Time t) const
 
Real level () const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from StochasticProcess1D
 StochasticProcess1D ()=default
 
 StochasticProcess1D (ext::shared_ptr< discretization >)
 
- Protected Member Functions inherited from StochasticProcess
 StochasticProcess ()=default
 
 StochasticProcess (ext::shared_ptr< discretization >)
 
- Protected Attributes inherited from StochasticProcess1D
ext::shared_ptr< discretizationdiscretization_
 
- Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretizationdiscretization_
 

Detailed Description

Piecewise linear Ornstein-Uhlenbeck process class.

This class describes the Ornstein-Uhlenbeck process governed by

\[ dx = a (level - x_t) dt + \sigma dW_t \]

where the coefficients a and sigma are piecewise linear.

Definition at line 43 of file generalizedornsteinuhlenbeckprocess.hpp.

Constructor & Destructor Documentation

◆ GeneralizedOrnsteinUhlenbeckProcess()

GeneralizedOrnsteinUhlenbeckProcess ( ext::function< Real(Time)>  speed,
ext::function< Real(Time)>  vol,
Real  x0 = 0.0,
Real  level = 0.0 
)

Definition at line 26 of file generalizedornsteinuhlenbeckprocess.cpp.

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Member Function Documentation

◆ x0()

Real x0 ( ) const
overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

Definition at line 34 of file generalizedornsteinuhlenbeckprocess.cpp.

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◆ drift()

Real drift ( Time  t,
Real  x 
) const
overridevirtual

returns the drift part of the equation, i.e. \( \mu(t, x_t) \)

Implements StochasticProcess1D.

Definition at line 38 of file generalizedornsteinuhlenbeckprocess.cpp.

◆ diffusion()

Real diffusion ( Time  t,
Real  x 
) const
overridevirtual

returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)

Implements StochasticProcess1D.

Definition at line 42 of file generalizedornsteinuhlenbeckprocess.cpp.

◆ expectation()

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

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.

Definition at line 46 of file generalizedornsteinuhlenbeckprocess.cpp.

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◆ stdDeviation()

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

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.

Definition at line 51 of file generalizedornsteinuhlenbeckprocess.cpp.

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◆ variance()

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

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.

Definition at line 56 of file generalizedornsteinuhlenbeckprocess.cpp.

◆ speed()

Real speed ( Time  t) const

Definition at line 70 of file generalizedornsteinuhlenbeckprocess.cpp.

◆ volatility()

Real volatility ( Time  t) const

Definition at line 74 of file generalizedornsteinuhlenbeckprocess.cpp.

◆ level()

Real level ( ) const

Definition at line 78 of file generalizedornsteinuhlenbeckprocess.cpp.

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Member Data Documentation

◆ x0_

Real x0_
private

Definition at line 66 of file generalizedornsteinuhlenbeckprocess.hpp.

◆ level_

Real level_
private

Definition at line 66 of file generalizedornsteinuhlenbeckprocess.hpp.

◆ speed_

ext::function<Real (Time)> speed_
private

Definition at line 67 of file generalizedornsteinuhlenbeckprocess.hpp.

◆ volatility_

ext::function<Real (Time)> volatility_
private

Definition at line 68 of file generalizedornsteinuhlenbeckprocess.hpp.