QuantLib_G2Process man page

G2Process — G2 stochastic process

Synopsis

`#include <ql/processes/g2process.hpp>`

Inherits StochasticProcess.

Public Member Functions

G2Process (Real a, Real sigma, Real b, Real eta, Real rho)
Real x0 () const
Real y0 () const
Real a () const
Real sigma () const
Real b () const
Real eta () const
Real rho () const

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

Detailed Description

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

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Referenced By

The man pages G2Process(3) and ql-y0(3) are aliases of QuantLib_G2Process(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib