Forward Hull-White stochastic process More...
#include <hullwhiteprocess.hpp>
Inheritance diagram for HullWhiteForwardProcess:
Collaboration diagram for HullWhiteForwardProcess:
Public Member Functions | |
| HullWhiteForwardProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma) | |
| Public Member Functions inherited from ForwardMeasureProcess1D | |
| virtual void | setForwardMeasureTime (Time) |
| Time | getForwardMeasureTime () const |
| 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 () |
StochasticProcess1D interface | |
| ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > | process_ |
| Handle< YieldTermStructure > | h_ |
| Real | a_ |
| Real | sigma_ |
| 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 | expectation (Time t0, Real x0, Time dt) const override |
| Real | stdDeviation (Time t0, Real x0, Time dt) const override |
| Real | variance (Time t0, Real x0, Time dt) const override |
| Real | a () const |
| Real | sigma () const |
| Real | alpha (Time t) const |
| Real | M_T (Real s, Real t, Real T) const |
| Real | B (Time t, Time T) const |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from ForwardMeasureProcess1D | |
| ForwardMeasureProcess1D ()=default | |
| ForwardMeasureProcess1D (Time T) | |
| ForwardMeasureProcess1D (const ext::shared_ptr< discretization > &) | |
| 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 ForwardMeasureProcess1D | |
| Time | T_ |
| Protected Attributes inherited from StochasticProcess1D | |
| ext::shared_ptr< discretization > | discretization_ |
| Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
Detailed Description
Forward Hull-White stochastic process
Definition at line 61 of file hullwhiteprocess.hpp.
Constructor & Destructor Documentation
◆ HullWhiteForwardProcess()
| HullWhiteForwardProcess | ( | const Handle< YieldTermStructure > & | h, |
| Real | a, | ||
| Real | sigma | ||
| ) |
Definition at line 82 of file hullwhiteprocess.cpp.
Member Function Documentation
◆ x0()
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overridevirtual |
returns the initial value of the state variable
Implements StochasticProcess1D.
Definition at line 90 of file hullwhiteprocess.cpp.
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◆ drift()
returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 94 of file hullwhiteprocess.cpp.
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◆ diffusion()
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 104 of file hullwhiteprocess.cpp.
◆ expectation()
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 108 of file hullwhiteprocess.cpp.
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◆ stdDeviation()
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 115 of file hullwhiteprocess.cpp.
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◆ variance()
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 120 of file hullwhiteprocess.cpp.
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◆ a()
| Real a | ( | ) | const |
Definition at line 154 of file hullwhiteprocess.cpp.
◆ sigma()
| Real sigma | ( | ) | const |
Definition at line 158 of file hullwhiteprocess.cpp.
◆ alpha()
Definition at line 124 of file hullwhiteprocess.cpp.
◆ M_T()
◆ B()
Member Data Documentation
◆ process_
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protected |
Definition at line 83 of file hullwhiteprocess.hpp.
◆ h_
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protected |
Definition at line 84 of file hullwhiteprocess.hpp.
◆ a_
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protected |
Definition at line 85 of file hullwhiteprocess.hpp.
◆ sigma_
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protected |
Definition at line 85 of file hullwhiteprocess.hpp.