QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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G2 stochastic process More...
#include <g2process.hpp>
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 &) | |
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 () |
StochasticProcess interface | |
Real | x0_ = 0.0 |
Real | y0_ = 0.0 |
Real | a_ |
Real | sigma_ |
Real | b_ |
Real | eta_ |
Real | rho_ |
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > | xProcess_ |
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > | yProcess_ |
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< discretization > | discretization_ |
G2 stochastic process
Definition at line 34 of file g2process.hpp.
Definition at line 25 of file g2process.cpp.
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overridevirtual |
returns the number of dimensions of the stochastic process
Implements StochasticProcess.
Definition at line 30 of file g2process.cpp.
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overridevirtual |
returns the initial values of the state variables
Implements StochasticProcess.
Definition at line 34 of file g2process.cpp.
returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
Implements StochasticProcess.
Definition at line 38 of file g2process.cpp.
returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
Implements StochasticProcess.
Definition at line 45 of file g2process.cpp.
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.
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.
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.
Real x0 | ( | ) | const |
Real y0 | ( | ) | const |
Definition at line 102 of file g2process.cpp.
Real a | ( | ) | const |
Definition at line 106 of file g2process.cpp.
Real sigma | ( | ) | const |
Real b | ( | ) | const |
Definition at line 114 of file g2process.cpp.
Real eta | ( | ) | const |
Definition at line 118 of file g2process.cpp.
Real rho | ( | ) | const |
Definition at line 122 of file g2process.cpp.
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private |
Definition at line 55 of file g2process.hpp.
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private |
Definition at line 55 of file g2process.hpp.
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private |
Definition at line 55 of file g2process.hpp.
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private |
Definition at line 55 of file g2process.hpp.
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private |
Definition at line 55 of file g2process.hpp.
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private |
Definition at line 55 of file g2process.hpp.
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private |
Definition at line 55 of file g2process.hpp.
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private |
Definition at line 56 of file g2process.hpp.
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private |
Definition at line 57 of file g2process.hpp.