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fully annotated source code - version 1.34
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Public Member Functions | List of all members
G2Process Class Reference

G2 stochastic process More...

#include <g2process.hpp>

+ Inheritance diagram for G2Process:
+ Collaboration diagram for G2Process:

Public Member Functions

 G2Process (Real a, Real sigma, Real b, Real eta, Real rho)
 
- Public Member Functions inherited from StochasticProcess
 ~StochasticProcess () override=default
 
virtual Size factors () const
 returns the number of independent factors of the process More...
 
virtual Array evolve (Time t0, const Array &x0, Time dt, const Array &dw) const
 
virtual Array apply (const Array &x0, const Array &dx) const
 
virtual Time time (const Date &) const
 
void update () override
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

StochasticProcess interface

Real x0_ = 0.0
 
Real y0_ = 0.0
 
Real a_
 
Real sigma_
 
Real b_
 
Real eta_
 
Real rho_
 
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcessxProcess_
 
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcessyProcess_
 
Size size () const override
 returns the number of dimensions of the stochastic process More...
 
Array initialValues () const override
 returns the initial values of the state variables More...
 
Array drift (Time t, const Array &x) const override
 returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) More...
 
Matrix diffusion (Time t, const Array &x) const override
 returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) More...
 
Array expectation (Time t0, const Array &x0, Time dt) const override
 
Matrix stdDeviation (Time t0, const Array &x0, Time dt) const override
 
Matrix covariance (Time t0, const Array &x0, Time dt) const override
 
Real x0 () const
 
Real y0 () const
 
Real a () const
 
Real sigma () const
 
Real b () const
 
Real eta () const
 
Real rho () const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from StochasticProcess
 StochasticProcess ()=default
 
 StochasticProcess (ext::shared_ptr< discretization >)
 
- Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretizationdiscretization_
 

Detailed Description

G2 stochastic process

Definition at line 34 of file g2process.hpp.

Constructor & Destructor Documentation

◆ G2Process()

G2Process ( Real  a,
Real  sigma,
Real  b,
Real  eta,
Real  rho 
)

Definition at line 25 of file g2process.cpp.

Member Function Documentation

◆ size()

Size size ( ) const
overridevirtual

returns the number of dimensions of the stochastic process

Implements StochasticProcess.

Definition at line 30 of file g2process.cpp.

◆ initialValues()

Array initialValues ( ) const
overridevirtual

returns the initial values of the state variables

Implements StochasticProcess.

Definition at line 34 of file g2process.cpp.

◆ drift()

Array drift ( Time  t,
const Array x 
) const
overridevirtual

returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)

Implements StochasticProcess.

Definition at line 38 of file g2process.cpp.

◆ diffusion()

Matrix diffusion ( Time  t,
const Array x 
) const
overridevirtual

returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)

Implements StochasticProcess.

Definition at line 45 of file g2process.cpp.

◆ expectation()

Array expectation ( Time  t0,
const Array x0,
Time  dt 
) const
overridevirtual

returns the expectation \( E(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) 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 StochasticProcess.

Definition at line 61 of file g2process.cpp.

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◆ stdDeviation()

Matrix stdDeviation ( Time  t0,
const Array x0,
Time  dt 
) const
overridevirtual

returns the standard deviation \( S(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) 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 StochasticProcess.

Definition at line 69 of file g2process.cpp.

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◆ covariance()

Matrix covariance ( Time  t0,
const Array x0,
Time  dt 
) const
overridevirtual

returns the covariance \( V(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) 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 StochasticProcess.

Definition at line 92 of file g2process.cpp.

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◆ x0()

Real x0 ( ) const

Definition at line 98 of file g2process.cpp.

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◆ y0()

Real y0 ( ) const

Definition at line 102 of file g2process.cpp.

◆ a()

Real a ( ) const

Definition at line 106 of file g2process.cpp.

◆ sigma()

Real sigma ( ) const

Definition at line 110 of file g2process.cpp.

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◆ b()

Real b ( ) const

Definition at line 114 of file g2process.cpp.

◆ eta()

Real eta ( ) const

Definition at line 118 of file g2process.cpp.

◆ rho()

Real rho ( ) const

Definition at line 122 of file g2process.cpp.

Member Data Documentation

◆ x0_

Real x0_ = 0.0
private

Definition at line 55 of file g2process.hpp.

◆ y0_

Real y0_ = 0.0
private

Definition at line 55 of file g2process.hpp.

◆ a_

Real a_
private

Definition at line 55 of file g2process.hpp.

◆ sigma_

Real sigma_
private

Definition at line 55 of file g2process.hpp.

◆ b_

Real b_
private

Definition at line 55 of file g2process.hpp.

◆ eta_

Real eta_
private

Definition at line 55 of file g2process.hpp.

◆ rho_

Real rho_
private

Definition at line 55 of file g2process.hpp.

◆ xProcess_

ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_
private

Definition at line 56 of file g2process.hpp.

◆ yProcess_

ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_
private

Definition at line 57 of file g2process.hpp.