QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | List of all members
SquareRootProcess Class Reference

Square-root process class. More...

#include <ql/processes/squarerootprocess.hpp>

+ Inheritance diagram for SquareRootProcess:
+ Collaboration diagram for SquareRootProcess:

Public Member Functions

 SquareRootProcess (Real b, Real a, Volatility sigma, Real x0=0.0, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization))
 
- Public Member Functions inherited from StochasticProcess1D
virtual Real expectation (Time t0, Real x0, Time dt) const
 
virtual Real stdDeviation (Time t0, Real x0, Time dt) const
 
virtual Real variance (Time t0, Real x0, Time dt) const
 
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 ()
 

StochasticProcess interface

Real x0_
 
Real mean_
 
Real speed_
 
Volatility 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 a () const
 
Real b () const
 
Real sigma () 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

Square-root process class.

This class describes a square-root process governed by

\[ dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t. \]

Definition at line 42 of file squarerootprocess.hpp.

Constructor & Destructor Documentation

◆ SquareRootProcess()

SquareRootProcess ( Real  b,
Real  a,
Volatility  sigma,
Real  x0 = 0.0,
const ext::shared_ptr< discretization > &  d = ext::shared_ptr<discretization>(new EulerDiscretization) 
)

Definition at line 26 of file squarerootprocess.cpp.

Member Function Documentation

◆ x0()

Real x0 ( ) const
overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

Definition at line 32 of file squarerootprocess.cpp.

◆ 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 36 of file squarerootprocess.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 40 of file squarerootprocess.cpp.

◆ a()

Real a ( ) const

Definition at line 55 of file squarerootprocess.hpp.

◆ b()

Real b ( ) const

Definition at line 56 of file squarerootprocess.hpp.

◆ sigma()

Real sigma ( ) const

Definition at line 57 of file squarerootprocess.hpp.

Member Data Documentation

◆ x0_

Real x0_
private

Definition at line 59 of file squarerootprocess.hpp.

◆ mean_

Real mean_
private

Definition at line 59 of file squarerootprocess.hpp.

◆ speed_

Real speed_
private

Definition at line 59 of file squarerootprocess.hpp.

◆ volatility_

Volatility volatility_
private

Definition at line 60 of file squarerootprocess.hpp.