24#ifndef quantlib_hull_white_processes_hpp
25#define quantlib_hull_white_processes_hpp
54 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess>
process_;
83 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess>
process_;
forward-measure 1-D stochastic process
Shared handle to an observable.
Forward Hull-White stochastic process
Handle< YieldTermStructure > h_
Real diffusion(Time t, Real x) const override
returns the diffusion part of the equation, i.e.
Real stdDeviation(Time t0, Real x0, Time dt) const override
Real M_T(Real s, Real t, Real T) const
Real drift(Time t, Real x) const override
returns the drift part of the equation, i.e.
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > process_
Real expectation(Time t0, Real x0, Time dt) const override
Real B(Time t, Time T) const
Real x0() const override
returns the initial value of the state variable
Hull-White stochastic process.
Handle< YieldTermStructure > h_
Real diffusion(Time t, Real x) const override
returns the diffusion part of the equation, i.e.
Real stdDeviation(Time t0, Real x0, Time dt) const override
Real drift(Time t, Real x) const override
returns the drift part of the equation, i.e.
ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > process_
Real expectation(Time t0, Real x0, Time dt) const override
Real x0() const override
returns the initial value of the state variable
1-dimensional stochastic process
LinearInterpolation variance
forward-measure stochastic processes
Real Time
continuous quantity with 1-year units
Ornstein-Uhlenbeck process.
Interest-rate term structure.