#include <ql/processes/coxingersollrossprocess.hpp>

Inheritance diagram for CoxIngersollRossProcess:

Collaboration diagram for CoxIngersollRossProcess:

Public Member Functions
	CoxIngersollRossProcess (Real speed, Volatility vol, Real x0=0.0, Real level=0.0)

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

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

Public Member Functions inherited from StochasticProcess1D
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 Attributes
Real	x0_

Real	speed_

Real	level_

Volatility	volatility_

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

CoxIngersollRoss process class.

This class describes the CoxIngersollRoss process governed by

\[ dx(t) = k (\theta - x(t)) dt + \sigma \sqrt{x(t)} dW(t). \]

The process is discretized using the Quadratic Exponential scheme. For details see Leif Andersen, Efficient Simulation of the Heston Stochastic Volatility Model.

Definition at line 45 of file coxingersollrossprocess.hpp.

Constructor & Destructor Documentation

◆ CoxIngersollRossProcess()

CoxIngersollRossProcess	(	Real	speed,
		Volatility	vol,
		Real	x0 = `0.0`,
		Real	level = `0.0`
	)

Definition at line 24 of file coxingersollrossprocess.cpp.

Member Function Documentation

◆ 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 90 of file coxingersollrossprocess.hpp.

◆ 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 94 of file coxingersollrossprocess.hpp.

◆ expectation()

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

overridevirtual

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 98 of file coxingersollrossprocess.hpp.

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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 103 of file coxingersollrossprocess.hpp.

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◆ x0()

Real x0 ( ) const

overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

Definition at line 74 of file coxingersollrossprocess.hpp.

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◆ speed()

Real speed ( ) const

Definition at line 78 of file coxingersollrossprocess.hpp.

◆ volatility()

Real volatility ( ) const

Definition at line 82 of file coxingersollrossprocess.hpp.

◆ level()

Real level ( ) const

Definition at line 86 of file coxingersollrossprocess.hpp.

◆ variance()

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

overridevirtual

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 32 of file coxingersollrossprocess.cpp.

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