28 const Array& reversions,
30 const Date& referenceDate,
40 <<
") must not be greater than forward measure time ("
47 "time can not be computed without reference date and day counter");
92 QL_REQUIRE(w >=
t,
"G(t,w) should be called with w ("
93 << w <<
") not lesser than t (" <<
t <<
")");
95 "G(t,w) should be called with (t,w)=("
96 <<
t <<
"," << w <<
") in Range [0,"
1-D array used in linear algebra.
Time yearFraction(const Date &, const Date &, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) const
Returns the period between two dates as a fraction of year.
forward-measure 1-D stochastic process
Time getForwardMeasureTime() const
Real variance(Time t0, Real, Time dt) const override
Real G(Time t, Time T, Real x) const
GsrProcess(const Array ×, const Array &vols, const Array &reversions, Real T=60.0, const Date &referenceDate=Null< Date >(), DayCounter dc=DayCounter())
Real diffusion(Time t, Real) const override
returns the diffusion part of the equation, i.e.
Real stdDeviation(Time t0, Real x0, Time dt) const override
void checkT(Time t) const
void flushCache() const
reset cache
const detail::GsrProcessCore core_
Real reversion(Time t) const
Real drift(Time t, Real x) const override
returns the drift part of the equation, i.e.
Real time(const Date &d) const override
Real sigma(Time t) const
additional inspectors
Real expectation(Time t0, Real x0, Time dt) const override
Real x0() const override
returns the initial value of the state variable
template class providing a null value for a given type.
Real expectation_x0dep_part(Time w, Real xw, Time dt) const
Real expectation_rn_part(Time w, Time dt) const
Real expectation_tf_part(Time w, Time dt) const
Real reversion(Time t) const
Real G(Time t, Time w) const
Real variance(Time w, Time dt) const
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
LinearInterpolation variance
Real Time
continuous quantity with 1-year units
GSR model process with piecewise volatilities and mean reversions, the dynamic is expressed in some T...