GSR stochastic process. More...

#include <ql/processes/gsrprocess.hpp>

Inheritance diagram for GsrProcess:

Collaboration diagram for GsrProcess:

Public Member Functions
	GsrProcess (const Array &times, 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_

Detailed Description

GSR stochastic process.

Definition at line 40 of file gsrprocess.hpp.

Constructor & Destructor Documentation

◆ GsrProcess()

GsrProcess	(	const Array &	times,
		const Array &	vols,
		const Array &	reversions,
		Real	T = `60.0`,
		const Date &	referenceDate = `Null<Date>()`,
		DayCounter	dc = `DayCounter()`
	)

Definition at line 26 of file gsrprocess.cpp.

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Member Function Documentation

◆ x0()

Real x0 ( ) const

overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

Definition at line 51 of file gsrprocess.cpp.

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◆ 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 53 of file gsrprocess.cpp.

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◆ 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 59 of file gsrprocess.cpp.

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◆ 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 64 of file gsrprocess.cpp.

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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 73 of file gsrprocess.cpp.

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◆ 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 77 of file gsrprocess.cpp.

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