QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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GSR stochastic process. More...
#include <gsrprocess.hpp>
Public Member Functions | |
GsrProcess (const Array ×, const Array &vols, const Array &reversions, Real T=60.0, const Date &referenceDate=Null< Date >(), DayCounter dc=DayCounter()) | |
StochasticProcess1D interface | |
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) 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, Time dt) const override |
Real | time (const Date &d) const override |
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... | |
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 () |
ForwardMeasureProcess1D interface | |
const detail::GsrProcessCore | core_ |
Date | referenceDate_ |
DayCounter | dc_ |
void | setForwardMeasureTime (Time t) override |
Real | sigma (Time t) const |
additional inspectors More... | |
Real | reversion (Time t) const |
Real | y (Time t) const |
Real | G (Time t, Time T, Real x) const |
void | flushCache () const |
reset cache More... | |
void | checkT (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_ |
GSR stochastic process.
Definition at line 40 of file gsrprocess.hpp.
GsrProcess | ( | const Array & | times, |
const Array & | vols, | ||
const Array & | reversions, | ||
Real | T = 60.0 , |
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const Date & | referenceDate = Null<Date>() , |
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DayCounter | dc = DayCounter() |
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) |
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overridevirtual |
returns the initial value of the state variable
Implements StochasticProcess1D.
Definition at line 51 of file gsrprocess.cpp.
returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 53 of file gsrprocess.cpp.
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
Implements StochasticProcess1D.
Definition at line 59 of file gsrprocess.cpp.
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 64 of file gsrprocess.cpp.
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 73 of file gsrprocess.cpp.
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 77 of file gsrprocess.cpp.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.
Definition at line 44 of file gsrprocess.cpp.
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overridevirtual |
Reimplemented from ForwardMeasureProcess1D.
Definition at line 78 of file gsrprocess.hpp.
additional inspectors
Definition at line 82 of file gsrprocess.cpp.
Definition at line 84 of file gsrprocess.cpp.
void flushCache | ( | ) | const |
reset cache
Definition at line 83 of file gsrprocess.hpp.
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private |
Definition at line 37 of file gsrprocess.cpp.
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private |
Definition at line 71 of file gsrprocess.hpp.
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private |
Definition at line 72 of file gsrprocess.hpp.
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private |
Definition at line 73 of file gsrprocess.hpp.