QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Piecewise linear Ornstein-Uhlenbeck process class. More...
#include <generalizedornsteinuhlenbeckprocess.hpp>
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 &) | |
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 () |
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< discretization > | discretization_ |
Protected Attributes inherited from StochasticProcess | |
ext::shared_ptr< discretization > | discretization_ |
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.
GeneralizedOrnsteinUhlenbeckProcess | ( | ext::function< Real(Time)> | speed, |
ext::function< Real(Time)> | vol, | ||
Real | x0 = 0.0 , |
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Real | level = 0.0 |
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) |
Definition at line 26 of file generalizedornsteinuhlenbeckprocess.cpp.
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overridevirtual |
returns the initial value of the state variable
Implements StochasticProcess1D.
Definition at line 34 of file generalizedornsteinuhlenbeckprocess.cpp.
returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 38 of file generalizedornsteinuhlenbeckprocess.cpp.
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 42 of file generalizedornsteinuhlenbeckprocess.cpp.
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.
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.
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.
Definition at line 70 of file generalizedornsteinuhlenbeckprocess.cpp.
Definition at line 74 of file generalizedornsteinuhlenbeckprocess.cpp.
Real level | ( | ) | const |
Definition at line 78 of file generalizedornsteinuhlenbeckprocess.cpp.
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private |
Definition at line 66 of file generalizedornsteinuhlenbeckprocess.hpp.
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private |
Definition at line 66 of file generalizedornsteinuhlenbeckprocess.hpp.
Definition at line 67 of file generalizedornsteinuhlenbeckprocess.hpp.
Definition at line 68 of file generalizedornsteinuhlenbeckprocess.hpp.