Hybrid Heston Hull-White stochastic process. More...

#include <hybridhestonhullwhiteprocess.hpp>

Inheritance diagram for HybridHestonHullWhiteProcess:

Collaboration diagram for HybridHestonHullWhiteProcess:

Public Types
enum	Discretization { Euler , BSMHullWhite }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	HybridHestonHullWhiteProcess (const ext::shared_ptr< HestonProcess > &hestonProcess, const ext::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Discretization discretization=BSMHullWhite)

Size	size () const override
	returns the number of dimensions of the stochastic process More...

Array	initialValues () const override
	returns the initial values of the state variables More...

Array	drift (Time t, const Array &x) const override
	returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) More...

Matrix	diffusion (Time t, const Array &x) const override
	returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) More...

Array	apply (const Array &x0, const Array &dx) const override

Array	evolve (Time t0, const Array &x0, Time dt, const Array &dw) const override

DiscountFactor	numeraire (Time t, const Array &x) const

const ext::shared_ptr< HestonProcess > &	hestonProcess () const

const ext::shared_ptr< HullWhiteForwardProcess > &	hullWhiteProcess () const

Real	eta () const

Time	time (const Date &date) const override

Discretization	discretization () const

void	update () override

Public Member Functions inherited from StochasticProcess
	~StochasticProcess () override=default

virtual Size	factors () const
	returns the number of independent factors of the process More...

virtual Array	expectation (Time t0, const Array &x0, Time dt) const

virtual Matrix	stdDeviation (Time t0, const Array &x0, Time dt) const

virtual Matrix	covariance (Time t0, const Array &x0, Time dt) const

void	update () override

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (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 &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Protected Attributes
const ext::shared_ptr< HestonProcess >	hestonProcess_

const ext::shared_ptr< HullWhiteForwardProcess >	hullWhiteProcess_

const ext::shared_ptr< HullWhite >	hullWhiteModel_

const Real	corrEquityShortRate_

const Discretization	discretization_

const Real	maxRho_

const Time	T_

DiscountFactor	endDiscount_

Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretization >	discretization_

Additional Inherited Members
Protected Member Functions inherited from StochasticProcess
	StochasticProcess ()=default

	StochasticProcess (ext::shared_ptr< discretization >)

Detailed Description

Hybrid Heston Hull-White stochastic process.

This class implements a three factor Heston Hull-White model

Bug:: This class was not tested enough to guarantee its functionality... work in progress

Definition at line 42 of file hybridhestonhullwhiteprocess.hpp.

Member Enumeration Documentation

◆ Discretization

enum Discretization

Enumerator
Euler
BSMHullWhite

Definition at line 44 of file hybridhestonhullwhiteprocess.hpp.

Constructor & Destructor Documentation

◆ HybridHestonHullWhiteProcess()

HybridHestonHullWhiteProcess	(	const ext::shared_ptr< HestonProcess > &	hestonProcess,
		const ext::shared_ptr< HullWhiteForwardProcess > &	hullWhiteProcess,
		Real	corrEquityShortRate,
		HybridHestonHullWhiteProcess::Discretization	discretization = `BSMHullWhite`
	)

Definition at line 30 of file hybridhestonhullwhiteprocess.cpp.

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Member Function Documentation

◆ size()

Size size ( ) const

overridevirtual

returns the number of dimensions of the stochastic process

Implements StochasticProcess.

Definition at line 56 of file hybridhestonhullwhiteprocess.cpp.

◆ initialValues()

Array initialValues ( ) const

overridevirtual

returns the initial values of the state variables

Implements StochasticProcess.

Definition at line 60 of file hybridhestonhullwhiteprocess.cpp.

◆ drift()

Array drift	(	Time	t,
		const Array &	x
	)		const

overridevirtual

returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)

Implements StochasticProcess.

Definition at line 68 of file hybridhestonhullwhiteprocess.cpp.

◆ diffusion()

Matrix diffusion	(	Time	t,
		const Array &	x
	)		const

overridevirtual

returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)

Implements StochasticProcess.

Definition at line 90 of file hybridhestonhullwhiteprocess.cpp.

◆ apply()

Array apply	(	const Array &	x0,
		const Array &	dx
	)		const

overridevirtual

applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \).

Reimplemented from StochasticProcess.

Definition at line 79 of file hybridhestonhullwhiteprocess.cpp.

◆ evolve()

Array evolve	(	Time	t0,
		const Array &	x0,
		Time	dt,
		const Array &	dw
	)		const

overridevirtual

returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns

\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]

where \( E \) is the expectation and \( S \) the standard deviation.

Reimplemented from StochasticProcess.

Definition at line 107 of file hybridhestonhullwhiteprocess.cpp.

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◆ numeraire()

DiscountFactor numeraire	(	Time	t,
		const Array &	x
	)		const

Definition at line 200 of file hybridhestonhullwhiteprocess.cpp.

◆ hestonProcess()

const ext::shared_ptr< HestonProcess > & hestonProcess ( ) const

Definition at line 210 of file hybridhestonhullwhiteprocess.cpp.

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◆ hullWhiteProcess()

const ext::shared_ptr< HullWhiteForwardProcess > & hullWhiteProcess ( ) const

Definition at line 215 of file hybridhestonhullwhiteprocess.cpp.

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◆ eta()

Real eta ( ) const

Definition at line 205 of file hybridhestonhullwhiteprocess.cpp.

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◆ time()

Time time ( const Date & ) const

overridevirtual

returns the time value corresponding to the given date in the reference system of the stochastic process.

Note: As a number of processes might not need this functionality, a default implementation is given which raises an exception.

Reimplemented from StochasticProcess.

Definition at line 224 of file hybridhestonhullwhiteprocess.cpp.

◆ discretization()

HybridHestonHullWhiteProcess::Discretization discretization ( ) const

Definition at line 220 of file hybridhestonhullwhiteprocess.cpp.

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 228 of file hybridhestonhullwhiteprocess.cpp.