Square-root process class. More...
#include <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 &) | |
| 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 () |
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< discretization > | discretization_ |
| Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
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()
|
overridevirtual |
returns the initial value of the state variable
Implements StochasticProcess1D.
Definition at line 32 of file squarerootprocess.cpp.
◆ drift()
returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 36 of file squarerootprocess.cpp.
◆ diffusion()
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_
|
private |
Definition at line 59 of file squarerootprocess.hpp.
◆ mean_
|
private |
Definition at line 59 of file squarerootprocess.hpp.
◆ speed_
|
private |
Definition at line 59 of file squarerootprocess.hpp.
◆ volatility_
|
private |
Definition at line 60 of file squarerootprocess.hpp.