QuantLib_G2ForwardProcess man page

G2ForwardProcess — Forward G2 stochastic process

Synopsis

#include <ql/processes/g2process.hpp>

Inherits ForwardMeasureProcess.

Public Member Functions

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

StochasticProcess interface

Size size () const
returns the number of dimensions of the stochastic process
Disposable< Array > initialValues () const
returns the initial values of the state variables
Disposable< Array > drift (Time t, const Array &x) const
returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t) $
Disposable< Matrix > diffusion (Time t, const Array &x) const
returns the diffusion part of the equation, i.e. $ sigma(t, mathrm{x}_t) $
Disposable< Array > expectation (Time t0, const Array &x0, Time dt) const

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

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

Protected Member Functions

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

Protected Attributes

Real x0_

Real y0_

Real a_

Real sigma_

Real b_

Real eta_

Real rho_

boost::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > xProcess_

boost::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > yProcess_

Additional Inherited Members

Detailed Description

Forward G2 stochastic process

Member Function Documentation

Disposable<Array> expectation (Time t0, const Array & x0, Time dt) const [virtual]

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.

Disposable<Matrix> stdDeviation (Time t0, const Array & x0, Time dt) const [virtual]

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.

Disposable<Matrix> covariance (Time t0, const Array & x0, Time dt) const [virtual]

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

eta_(3), G2ForwardProcess(3), Mx_T(3), My_T(3), rho_(3), sigma_(3), xForwardDrift(3), xProcess_(3), y0_(3), yForwardDrift(3) and yProcess_(3) are aliases of QuantLib_G2ForwardProcess(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib