29#ifndef quantlib_gsr_process_hpp
30#define quantlib_gsr_process_hpp
44 const Array& reversions,
1-D array used in linear algebra.
forward-measure 1-D stochastic process
virtual void setForwardMeasureTime(Time)
Real G(Time t, Time T, Real x) const
Real diffusion(Time t, Real) const override
returns the diffusion part of the equation, i.e.
Real stdDeviation(Time t0, Real x0, Time dt) const override
void checkT(Time t) const
void flushCache() const
reset cache
const detail::GsrProcessCore core_
Real reversion(Time t) const
Real drift(Time t, Real x) const override
returns the drift part of the equation, i.e.
Real time(const Date &d) const override
void setForwardMeasureTime(Time t) override
Real expectation(Time t0, Real x0, Time dt) const override
Real x0() const override
returns the initial value of the state variable
template class providing a null value for a given type.
LinearInterpolation variance
forward-measure stochastic processes
Real Time
continuous quantity with 1-year units
Core computations for the gsr process in risk neutral and T-forward measure.