#include <jointstochasticprocess.hpp>

Inheritance diagram for JointStochasticProcess:

Collaboration diagram for JointStochasticProcess:

Classes
struct	CachingKey

Public Member Functions
	JointStochasticProcess (std::vector< ext::shared_ptr< StochasticProcess > > l, Size factors=Null< Size >())

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

Size	factors () const override
	returns the number of independent factors of the 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...

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

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

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

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

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

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

virtual void	preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const =0

virtual Array	postEvolve (Time t0, const Array &x0, Time dt, const Array &dw, const Array &y0) const =0

virtual DiscountFactor	numeraire (Time t, const Array &x) const =0

virtual bool	correlationIsStateDependent () const =0

virtual Matrix	crossModelCorrelation (Time t0, const Array &x0) const =0

const std::vector< ext::shared_ptr< StochasticProcess > > &	constituents () const

void	update () override

Time	time (const Date &date) const override

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

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 Member Functions
Array	slice (const Array &x, Size i) const

Protected Member Functions inherited from StochasticProcess
	StochasticProcess ()=default

	StochasticProcess (ext::shared_ptr< discretization >)

Protected Attributes
std::vector< ext::shared_ptr< StochasticProcess > >	l_

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

Private Types
typedef std::vector< ext::shared_ptr< StochasticProcess > >::const_iterator	const_iterator

typedef std::vector< ext::shared_ptr< StochasticProcess > >::iterator	iterator

Private Attributes
Size	size_ = 0

Size	factors_

Size	modelFactors_ = 0

std::vector< Size >	vsize_

std::vector< Size >	vfactors_

std::map< CachingKey, Matrix >	correlationCache_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Definition at line 34 of file jointstochasticprocess.hpp.

Member Typedef Documentation

◆ const_iterator

typedef std::vector<ext::shared_ptr<StochasticProcess>>::const_iterator const_iterator

private

Definition at line 76 of file jointstochasticprocess.hpp.

◆ iterator

typedef std::vector<ext::shared_ptr<StochasticProcess>>::iterator iterator

private

Definition at line 79 of file jointstochasticprocess.hpp.

Constructor & Destructor Documentation

◆ JointStochasticProcess()

JointStochasticProcess	(	std::vector< ext::shared_ptr< StochasticProcess > >	l,
		Size	factors = `Null<Size>()`
	)

Definition at line 31 of file jointstochasticprocess.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 60 of file jointstochasticprocess.cpp.

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◆ factors()

Size factors ( ) const

overridevirtual

returns the number of independent factors of the process

Reimplemented from StochasticProcess.

Definition at line 64 of file jointstochasticprocess.cpp.

◆ initialValues()

Array initialValues ( ) const

overridevirtual

returns the initial values of the state variables

Implements StochasticProcess.

Definition at line 77 of file jointstochasticprocess.cpp.

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◆ 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 91 of file jointstochasticprocess.cpp.

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◆ expectation()

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

overridevirtual

returns the expectation \( E(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess.

Definition at line 106 of file jointstochasticprocess.cpp.

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◆ 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 123 of file jointstochasticprocess.cpp.

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◆ covariance()

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

overridevirtual

returns the covariance \( V(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess.

Definition at line 130 of file jointstochasticprocess.cpp.

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◆ stdDeviation()

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

overridevirtual

returns the standard deviation \( S(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess.

Definition at line 164 of file jointstochasticprocess.cpp.

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◆ 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 171 of file jointstochasticprocess.cpp.

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◆ 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 185 of file jointstochasticprocess.cpp.

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◆ preEvolve()

virtual void preEvolve	(	Time	t0,
		const Array &	x0,
		Time	dt,
		const Array &	dw
	)		const

pure virtual

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◆ postEvolve()

virtual Array postEvolve	(	Time	t0,
		const Array &	x0,
		Time	dt,
		const Array &	dw,
		const Array &	y0
	)		const

pure virtual

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◆ numeraire()

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

pure virtual

◆ correlationIsStateDependent()

virtual bool correlationIsStateDependent ( ) const

pure virtual

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◆ crossModelCorrelation()

virtual Matrix crossModelCorrelation	(	Time	t0,
		const Array &	x0
	)		const

pure virtual

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◆ constituents()

const std::vector< ext::shared_ptr< StochasticProcess > > & constituents ( ) const

Definition at line 294 of file jointstochasticprocess.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 304 of file jointstochasticprocess.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 298 of file jointstochasticprocess.cpp.

◆ slice()

Array slice	(	const Array &	x,
		Size	i
	)		const

protected

Definition at line 68 of file jointstochasticprocess.cpp.

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Member Data Documentation

◆ l_

std::vector<ext::shared_ptr<StochasticProcess> > l_

protected

Definition at line 70 of file jointstochasticprocess.hpp.

◆ size_

Size size_ = 0

private

Definition at line 81 of file jointstochasticprocess.hpp.

◆ factors_

Size factors_

private

Definition at line 81 of file jointstochasticprocess.hpp.

◆ modelFactors_

Size modelFactors_ = 0

private

Definition at line 81 of file jointstochasticprocess.hpp.

◆ vsize_

std::vector<Size> vsize_

private

Definition at line 82 of file jointstochasticprocess.hpp.

◆ vfactors_

std::vector<Size> vfactors_

private

Definition at line 82 of file jointstochasticprocess.hpp.

◆ correlationCache_

std::map<CachingKey, Matrix> correlationCache_

mutableprivate

Definition at line 96 of file jointstochasticprocess.hpp.

Classes

Public Member Functions

Protected Member Functions

Protected Attributes

Private Types

Private Attributes

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ const_iterator

◆ iterator

Constructor & Destructor Documentation

◆ JointStochasticProcess()

Member Function Documentation

◆ size()

◆ factors()

◆ initialValues()

◆ drift()

◆ expectation()

◆ diffusion()

◆ covariance()

◆ stdDeviation()

◆ apply()

◆ evolve()

◆ preEvolve()

◆ postEvolve()

◆ numeraire()

◆ correlationIsStateDependent()

◆ crossModelCorrelation()

◆ constituents()

◆ update()

◆ time()

◆ slice()

Member Data Documentation

◆ l_

◆ size_

◆ factors_

◆ modelFactors_

◆ vsize_

◆ vfactors_

◆ correlationCache_