QuantLib: a free/open-source library for quantitative finance
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hullwhiteprocess.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Banca Profilo S.p.A.
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file hullwhiteprocess.hpp
21 \brief Hull-White stochastic processes
22*/
23
24#ifndef quantlib_hull_white_processes_hpp
25#define quantlib_hull_white_processes_hpp
26
30
31namespace QuantLib {
32
33 //! Hull-White stochastic process
34 /*! \ingroup processes */
36 public:
38 Real a,
39 Real sigma);
40 //! \name StochasticProcess1D interface
41 //@{
42 Real x0() const override;
43 Real drift(Time t, Real x) const override;
44 Real diffusion(Time t, Real x) const override;
45 Real expectation(Time t0, Real x0, Time dt) const override;
46 Real stdDeviation(Time t0, Real x0, Time dt) const override;
47 Real variance(Time t0, Real x0, Time dt) const override;
48
49 Real a() const;
50 Real sigma() const;
51 Real alpha(Time t) const;
52 //@}
53 protected:
54 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> process_;
57 };
58
59 //! %Forward Hull-White stochastic process
60 /*! \ingroup processes */
62 public:
64 Real a,
65 Real sigma);
66 //! \name StochasticProcess1D interface
67 //@{
68 Real x0() const override;
69 Real drift(Time t, Real x) const override;
70 Real diffusion(Time t, Real x) const override;
71 Real expectation(Time t0, Real x0, Time dt) const override;
72 Real stdDeviation(Time t0, Real x0, Time dt) const override;
73 Real variance(Time t0, Real x0, Time dt) const override;
74 //@}
75
76 Real a() const;
77 Real sigma() const;
78 Real alpha(Time t) const;
79 Real M_T(Real s, Real t, Real T) const;
80 Real B(Time t, Time T) const;
81
82 protected:
83 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> process_;
86 };
87
88}
89
90
91#endif
forward-measure 1-D stochastic process
Shared handle to an observable.
Definition: handle.hpp:41
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
const DefaultType & t
LinearInterpolation variance
forward-measure stochastic processes
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
Ornstein-Uhlenbeck process.
Real alpha
Definition: sabr.cpp:200
Interest-rate term structure.