Forward G2 stochastic process More...

#include <g2process.hpp>

Inheritance diagram for G2ForwardProcess:

Collaboration diagram for G2ForwardProcess:

Public Member Functions
	G2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho)

Public Member Functions inherited from ForwardMeasureProcess
virtual void	setForwardMeasureTime (Time)

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

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

virtual Time	time (const Date &) 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 ()

StochasticProcess interface
Real	x0_ = 0.0

Real	y0_ = 0.0

Real	a_

Real	sigma_

Real	b_

Real	eta_

Real	rho_

ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess >	xProcess_

ext::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess >	yProcess_

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

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

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

Real	xForwardDrift (Time t, Time T) const

Real	yForwardDrift (Time t, Time T) const

Real	Mx_T (Real s, Real t, Real T) const

Real	My_T (Real s, Real t, Real T) const

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

Protected Member Functions inherited from ForwardMeasureProcess
	ForwardMeasureProcess ()=default

	ForwardMeasureProcess (Time T)

	ForwardMeasureProcess (const ext::shared_ptr< discretization > &)

Protected Member Functions inherited from StochasticProcess
	StochasticProcess ()=default

	StochasticProcess (ext::shared_ptr< discretization >)

Protected Attributes inherited from ForwardMeasureProcess
Time	T_

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

Detailed Description

Forward G2 stochastic process

Definition at line 62 of file g2process.hpp.

Constructor & Destructor Documentation

◆ G2ForwardProcess()

G2ForwardProcess	(	Real	a,
		Real	sigma,
		Real	b,
		Real	eta,
		Real	rho
	)

Definition at line 127 of file g2process.cpp.

Member Function Documentation

◆ size()

Size size ( ) const

overridevirtual

returns the number of dimensions of the stochastic process

Implements StochasticProcess.

Definition at line 132 of file g2process.cpp.

◆ initialValues()

Array initialValues ( ) const

overridevirtual

returns the initial values of the state variables

Implements StochasticProcess.

Definition at line 136 of file g2process.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 140 of file g2process.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 147 of file g2process.cpp.

◆ 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 156 of file g2process.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 g2process.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 180 of file g2process.cpp.

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◆ xForwardDrift()

Real xForwardDrift	(	Time	t,
		Time	T
	)		const

protected

Definition at line 186 of file g2process.cpp.

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◆ yForwardDrift()

Real yForwardDrift	(	Time	t,
		Time	T
	)		const

protected

Definition at line 194 of file g2process.cpp.

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◆ Mx_T()

Real Mx_T	(	Real	s,
		Real	t,
		Real	T
	)		const

protected

Definition at line 202 of file g2process.cpp.

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◆ My_T()

Real My_T	(	Real	s,
		Real	t,
		Real	T
	)		const

protected

Definition at line 213 of file g2process.cpp.

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Member Data Documentation

◆ x0_

Real x0_ = 0.0

protected

Definition at line 76 of file g2process.hpp.

◆ y0_

Real y0_ = 0.0

protected

Definition at line 76 of file g2process.hpp.

◆ a_

Real a_

protected

Definition at line 76 of file g2process.hpp.

◆ sigma_

Real sigma_

protected

Definition at line 76 of file g2process.hpp.

◆ b_

Real b_

protected

Definition at line 76 of file g2process.hpp.

◆ eta_

Real eta_

protected

Definition at line 76 of file g2process.hpp.

◆ rho_

Real rho_

protected

Definition at line 76 of file g2process.hpp.

◆ xProcess_

ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_

protected

Definition at line 77 of file g2process.hpp.

◆ yProcess_

ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_

protected

Definition at line 78 of file g2process.hpp.

Public Member Functions

StochasticProcess interface

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ G2ForwardProcess()

Member Function Documentation

◆ size()

◆ initialValues()

◆ drift()

◆ diffusion()

◆ expectation()

◆ stdDeviation()

◆ covariance()

◆ xForwardDrift()

◆ yForwardDrift()

◆ Mx_T()

◆ My_T()

Member Data Documentation

◆ x0_

◆ y0_

◆ a_

◆ sigma_

◆ b_

◆ eta_

◆ rho_

◆ xProcess_

◆ yProcess_