QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Ornstein-Uhlenbeck process class. More...
#include <ornsteinuhlenbeckprocess.hpp>
Public Member Functions | |
OrnsteinUhlenbeckProcess (Real speed, Volatility 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 () |
StochasticProcess interface | |
Real | x0_ |
Real | speed_ |
Real | level_ |
Volatility | volatility_ |
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 | x0 () const override |
returns the initial value of the state variable More... | |
Real | speed () const |
Real | volatility () const |
Real | level () const |
Real | variance (Time t0, Real x0, Time dt) const override |
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_ |
Ornstein-Uhlenbeck process class.
This class describes the Ornstein-Uhlenbeck process governed by
\[ dx = a (r - x_t) dt + \sigma dW_t. \]
Definition at line 41 of file ornsteinuhlenbeckprocess.hpp.
OrnsteinUhlenbeckProcess | ( | Real | speed, |
Volatility | vol, | ||
Real | x0 = 0.0 , |
||
Real | level = 0.0 |
||
) |
Definition at line 26 of file ornsteinuhlenbeckprocess.cpp.
returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 83 of file ornsteinuhlenbeckprocess.hpp.
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 87 of file ornsteinuhlenbeckprocess.hpp.
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 91 of file ornsteinuhlenbeckprocess.hpp.
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 96 of file ornsteinuhlenbeckprocess.hpp.
|
overridevirtual |
returns the initial value of the state variable
Implements StochasticProcess1D.
Definition at line 67 of file ornsteinuhlenbeckprocess.hpp.
Real speed | ( | ) | const |
Definition at line 71 of file ornsteinuhlenbeckprocess.hpp.
Real volatility | ( | ) | const |
Definition at line 75 of file ornsteinuhlenbeckprocess.hpp.
Real level | ( | ) | const |
Definition at line 79 of file ornsteinuhlenbeckprocess.hpp.
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 34 of file ornsteinuhlenbeckprocess.cpp.
|
private |
Definition at line 61 of file ornsteinuhlenbeckprocess.hpp.
|
private |
Definition at line 61 of file ornsteinuhlenbeckprocess.hpp.
|
private |
Definition at line 61 of file ornsteinuhlenbeckprocess.hpp.
|
private |
Definition at line 62 of file ornsteinuhlenbeckprocess.hpp.