QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
Public Member Functions | List of all members
MfStateProcess Class Reference

Markov functional state process class. More...

#include <ql/processes/mfstateprocess.hpp>

+ Inheritance diagram for MfStateProcess:
+ Collaboration diagram for MfStateProcess:

Public Member Functions

 MfStateProcess (Real reversion, const Array &times, const Array &vols)
 
- 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...
 
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 reversion_
 
bool reversionZero_ = false
 
const Arraytimes_
 
const Arrayvols_
 
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 x) 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 x0, Time dt) const override
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- 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 StochasticProcess1D
ext::shared_ptr< discretizationdiscretization_
 
- Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretizationdiscretization_
 

Detailed Description

Markov functional state process class.

This class describes the process governed by

\[ dx = \sigma(t) e^{at} dW(t) \]

Definition at line 36 of file mfstateprocess.hpp.

Constructor & Destructor Documentation

◆ MfStateProcess()

MfStateProcess ( Real  reversion,
const Array times,
const Array vols 
)

Definition at line 24 of file mfstateprocess.cpp.

+ Here is the call graph for this function:

Member Function Documentation

◆ x0()

Real x0 ( ) const
overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

Definition at line 42 of file mfstateprocess.cpp.

+ Here is the caller graph for this function:

◆ 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 44 of file mfstateprocess.cpp.

◆ 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 46 of file mfstateprocess.cpp.

+ Here is the call graph for this function:

◆ 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 52 of file mfstateprocess.cpp.

+ Here is the call graph for this function:

◆ 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 56 of file mfstateprocess.cpp.

+ Here is the call graph for this function:

◆ 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 60 of file mfstateprocess.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

Member Data Documentation

◆ reversion_

Real reversion_
private

Definition at line 50 of file mfstateprocess.hpp.

◆ reversionZero_

bool reversionZero_ = false
private

Definition at line 51 of file mfstateprocess.hpp.

◆ times_

const Array& times_
private

Definition at line 52 of file mfstateprocess.hpp.

◆ vols_

const Array& vols_
private

Definition at line 53 of file mfstateprocess.hpp.