Geman-Roncoroni process class. More...

#include <gemanroncoroniprocess.hpp>

Inheritance diagram for GemanRoncoroniProcess:

Collaboration diagram for GemanRoncoroniProcess:

Public Member Functions
	GemanRoncoroniProcess (Real x0, Real alpha, Real beta, Real gamma, Real delta, Real eps, Real zeta, Real d, Real k, Real tau, Real sig2, Real a, Real b, Real theta1, Real theta2, Real theta3, Real psi)

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	stdDeviation (Time t0, Real x0, Time dt) const override

Real	evolve (Time t0, Real x0, Time dt, Real dw) const override

Real	evolve (Time t0, Real x0, Time dt, Real dw, const Array &du) const

Public Member Functions inherited from StochasticProcess1D
virtual Real	expectation (Time t0, Real x0, Time dt) const

virtual Real	variance (Time t0, Real x0, Time dt) 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 ()

Private Member Functions
virtual Array	evolve (Time t0, const Array &x0, Time dt, const Array &dw) const

Private Attributes
const Real	x0_

const Real	alpha_

const Real	beta_

const Real	gamma_

const Real	delta_

const Real	eps_

const Real	zeta_

const Real	d_

const Real	k_

const Real	tau_

const Real	sig2_

const Real	a_

const Real	b_

const Real	theta1_

const Real	theta2_

const Real	theta3_

const Real	psi_

ext::shared_ptr< PseudoRandom::urng_type >	urng_

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

Geman-Roncoroni process class.

This class describes the Geman-Roncoroni process governed by

\[ \begin{array}{rcl} dE(t) &=& \left[ \frac{\partial}{\partial t} \mu(t) +\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt +\sigma dW(t) + h(E(t^-))dJ(t) \\ \mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t) +\delta \cos(\zeta + 4\pi t) \end{array} \]

Definition at line 46 of file gemanroncoroniprocess.hpp.

Constructor & Destructor Documentation

◆ GemanRoncoroniProcess()

GemanRoncoroniProcess	(	Real	x0,
		Real	alpha,
		Real	beta,
		Real	gamma,
		Real	delta,
		Real	eps,
		Real	zeta,
		Real	d,
		Real	k,
		Real	tau,
		Real	sig2,
		Real	a,
		Real	b,
		Real	theta1,
		Real	theta2,
		Real	theta3,
		Real	psi
	)

Definition at line 31 of file gemanroncoroniprocess.cpp.

Member Function Documentation

◆ x0()

Real x0 ( ) const

overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

Definition at line 52 of file gemanroncoroniprocess.cpp.

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◆ 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 56 of file gemanroncoroniprocess.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 65 of file gemanroncoroniprocess.cpp.

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◆ stdDeviation()

Real stdDeviation	(	Time	t0,
		Real	x0,
		Time	dt
	)		const

overridevirtual

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 69 of file gemanroncoroniprocess.cpp.

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◆ evolve() [1/3]

Real evolve	(	Time	t0,
		Real	x0,
		Time	dt,
		Real	dw
	)		const

overridevirtual

returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns

\[ E(x_0,t_0,\Delta t) + S(x_0,t_0,\Delta t) \cdot \Delta w \]

where \( E \) is the expectation and \( S \) the standard deviation.

Reimplemented from StochasticProcess1D.

Definition at line 75 of file gemanroncoroniprocess.cpp.

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◆ evolve() [2/3]

Real evolve	(	Time	t0,
		Real	x0,
		Time	dt,
		Real	dw,
		const Array &	du
	)		const

Definition at line 89 of file gemanroncoroniprocess.cpp.

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◆ evolve() [3/3]

Array evolve	(	Time	t0,
		const Array &	x0,
		Time	dt,
		const Array &	dw
	)		const

privatevirtual

returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns

\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]

where \( E \) is the expectation and \( S \) the standard deviation.

Reimplemented from StochasticProcess1D.

Definition at line 123 of file stochasticprocess.cpp.

Member Data Documentation

◆ x0_

const Real x0_

private

Definition at line 69 of file gemanroncoroniprocess.hpp.

◆ alpha_

const Real alpha_

private

Definition at line 70 of file gemanroncoroniprocess.hpp.

◆ beta_

const Real beta_

private

Definition at line 70 of file gemanroncoroniprocess.hpp.

◆ gamma_

const Real gamma_

private

Definition at line 70 of file gemanroncoroniprocess.hpp.

◆ delta_

const Real delta_

private

Definition at line 70 of file gemanroncoroniprocess.hpp.

◆ eps_

const Real eps_

private

Definition at line 71 of file gemanroncoroniprocess.hpp.

◆ zeta_

const Real zeta_

private

Definition at line 71 of file gemanroncoroniprocess.hpp.

◆ d_

const Real d_

private

Definition at line 71 of file gemanroncoroniprocess.hpp.

◆ k_

const Real k_

private

Definition at line 72 of file gemanroncoroniprocess.hpp.

◆ tau_

const Real tau_

private

Definition at line 72 of file gemanroncoroniprocess.hpp.

◆ sig2_

const Real sig2_

private

Definition at line 73 of file gemanroncoroniprocess.hpp.

◆ a_

const Real a_

private

Definition at line 73 of file gemanroncoroniprocess.hpp.

◆ b_

const Real b_

private

Definition at line 73 of file gemanroncoroniprocess.hpp.

◆ theta1_

const Real theta1_

private

Definition at line 74 of file gemanroncoroniprocess.hpp.

◆ theta2_

const Real theta2_

private

Definition at line 74 of file gemanroncoroniprocess.hpp.

◆ theta3_

const Real theta3_

private

Definition at line 74 of file gemanroncoroniprocess.hpp.

◆ psi_

const Real psi_

private

Definition at line 75 of file gemanroncoroniprocess.hpp.

◆ urng_

ext::shared_ptr<PseudoRandom::urng_type> urng_

mutableprivate

Definition at line 76 of file gemanroncoroniprocess.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ GemanRoncoroniProcess()

Member Function Documentation

◆ x0()

◆ drift()

◆ diffusion()

◆ stdDeviation()

◆ evolve() [1/3]

◆ evolve() [2/3]

◆ evolve() [3/3]

Member Data Documentation

◆ x0_

◆ alpha_

◆ beta_

◆ gamma_

◆ delta_

◆ eps_

◆ zeta_

◆ d_

◆ k_

◆ tau_

◆ sig2_

◆ a_

◆ b_

◆ theta1_

◆ theta2_

◆ theta3_

◆ psi_

◆ urng_