24#ifndef quantlib_joint_stochastic_process_hpp
25#define quantlib_joint_stochastic_process_hpp
57 const Array& y0)
const = 0;
63 const std::vector<ext::shared_ptr<StochasticProcess> > &
70 std::vector<ext::shared_ptr<StochasticProcess> >
l_;
78 typedef std::vector<ext::shared_ptr<StochasticProcess> >
::iterator
1-D array used in linear algebra.
std::vector< ext::shared_ptr< StochasticProcess > > l_
Array slice(const Array &x, Size i) const
virtual Matrix crossModelCorrelation(Time t0, const Array &x0) const =0
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
Matrix diffusion(Time t, const Array &x) const override
returns the diffusion part of the equation, i.e.
Time time(const Date &date) const override
Matrix stdDeviation(Time t0, const Array &x0, Time dt) const override
virtual DiscountFactor numeraire(Time t, const Array &x) const =0
std::map< CachingKey, Matrix > correlationCache_
virtual Array postEvolve(Time t0, const Array &x0, Time dt, const Array &dw, const Array &y0) const =0
std::vector< Size > vfactors_
virtual void preEvolve(Time t0, const Array &x0, Time dt, const Array &dw) const =0
virtual bool correlationIsStateDependent() const =0
Size factors() const override
returns the number of independent factors of the process
std::vector< Size > vsize_
Matrix covariance(Time t0, const Array &x0, Time dt) const override
Array expectation(Time t0, const Array &x0, Time dt) const override
std::vector< ext::shared_ptr< StochasticProcess > >::iterator iterator
Array initialValues() const override
returns the initial values of the state variables
std::vector< ext::shared_ptr< StochasticProcess > >::const_iterator const_iterator
Array apply(const Array &x0, const Array &dx) const override
const std::vector< ext::shared_ptr< StochasticProcess > > & constituents() const
Matrix used in linear algebra.
template class providing a null value for a given type.
multi-dimensional stochastic process class.
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
std::size_t Size
size of a container
bool operator<(const CachingKey &key) const
CachingKey(const Time t0, const Time dt)