24#ifndef quantlib_g2_process_hpp
25#define quantlib_g2_process_hpp
56 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess>
xProcess_;
57 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess>
yProcess_;
77 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess>
xProcess_;
78 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess>
yProcess_;
1-D array used in linear algebra.
forward-measure stochastic process
Forward G2 stochastic process
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > xProcess_
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
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > yProcess_
Matrix diffusion(Time t, const Array &x) const override
returns the diffusion part of the equation, i.e.
Matrix stdDeviation(Time t0, const Array &x0, Time dt) const override
Real My_T(Real s, Real t, Real T) const
Real yForwardDrift(Time t, Time T) const
Real Mx_T(Real s, Real t, Real T) const
Matrix covariance(Time t0, const Array &x0, Time dt) const override
Array expectation(Time t0, const Array &x0, Time dt) const override
Array initialValues() const override
returns the initial values of the state variables
Real xForwardDrift(Time t, Time T) const
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > xProcess_
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
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > yProcess_
Matrix diffusion(Time t, const Array &x) const override
returns the diffusion part of the equation, i.e.
Matrix stdDeviation(Time t0, const Array &x0, Time dt) const override
Matrix covariance(Time t0, const Array &x0, Time dt) const override
Array expectation(Time t0, const Array &x0, Time dt) const override
Array initialValues() const override
returns the initial values of the state variables
Matrix used in linear algebra.
multi-dimensional stochastic process class.
ext::function< Real(Real)> b
forward-measure stochastic processes
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
Ornstein-Uhlenbeck process.