QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
ForwardMeasureProcess1D Class Reference

forward-measure 1-D stochastic process More...

#include <ql/processes/forwardmeasureprocess.hpp>

+ Inheritance diagram for ForwardMeasureProcess1D:
+ Collaboration diagram for ForwardMeasureProcess1D:

Public Member Functions

virtual void setForwardMeasureTime (Time)
 
Time getForwardMeasureTime () const
 
- Public Member Functions inherited from StochasticProcess1D
virtual Real x0 () const =0
 returns the initial value of the state variable More...
 
virtual Real drift (Time t, Real x) const =0
 returns the drift part of the equation, i.e. \( \mu(t, x_t) \) More...
 
virtual Real diffusion (Time t, Real x) const =0
 returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) More...
 
virtual Real expectation (Time t0, Real x0, Time dt) const
 
virtual Real stdDeviation (Time t0, Real x0, Time dt) const
 
virtual Real variance (Time t0, Real x0, Time dt) const
 
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 ()
 

Protected Member Functions

 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

Time T_
 
- Protected Attributes inherited from StochasticProcess1D
ext::shared_ptr< discretizationdiscretization_
 
- Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretizationdiscretization_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Detailed Description

forward-measure 1-D stochastic process

1-D stochastic process whose dynamics are expressed in the forward measure.

Definition at line 55 of file forwardmeasureprocess.hpp.

Constructor & Destructor Documentation

◆ ForwardMeasureProcess1D() [1/3]

ForwardMeasureProcess1D ( )
protecteddefault

◆ ForwardMeasureProcess1D() [2/3]

ForwardMeasureProcess1D ( Time  T)
explicitprotected

Definition at line 61 of file forwardmeasureprocess.hpp.

◆ ForwardMeasureProcess1D() [3/3]

ForwardMeasureProcess1D ( const ext::shared_ptr< discretization > &  disc)
explicitprotected

Definition at line 41 of file forwardmeasureprocess.cpp.

Member Function Documentation

◆ setForwardMeasureTime()

void setForwardMeasureTime ( Time  T)
virtual

Reimplemented in GsrProcess.

Definition at line 45 of file forwardmeasureprocess.cpp.

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◆ getForwardMeasureTime()

Time getForwardMeasureTime ( ) const

Definition at line 50 of file forwardmeasureprocess.cpp.

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Member Data Documentation

◆ T_

Time T_
protected

Definition at line 64 of file forwardmeasureprocess.hpp.