QuantLib_GemanRoncoroniProcess man page

GemanRoncoroniProcess — Geman-Roncoroni process class.

Synopsis

#include <ql/experimental/processes/gemanroncoroniprocess.hpp>

Inherits StochasticProcess1D.

Public Member Functions

GemanRoncoroniProcess (Real x0, Real alpha, Real beta, Real gamma, Real delta, Real eps, Real zeta, Real d, Real k, Real tau, Real sig2, Real a, Real b, Real theta1, Real theta2, Real theta3, Real psi)

Real x0 () const
returns the initial value of the state variable
Real drift (Time t, Real x) const
returns the drift part of the equation, i.e. $ mu(t, x_t) $
Real diffusion (Time t, Real x) const
returns the diffusion part of the equation, i.e. $ sigma(t, x_t) $
Real stdDeviation (Time t0, Real x0, Time dt) const

Real evolve (Time t0, Real x0, Time dt, Real dw) const

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

Additional Inherited Members

Detailed Description

Geman-Roncoroni process class.

This class describes the Geman-Roncoroni process governed by [ begin{array}{rcl} dE(t) &=& left[ ac{partial}{partial t} mu(t) + heta_1 left(mu(t)-E(t^-)right)right]dt +sigma dW(t) + h(E(t^-))dJ(t) \ mu(t)&=& alpha + beta t +gamma cos(\psilon+2pi t) +elta cos(zeta + 4pi t) \nd{array} ]

Member Function Documentation

Real stdDeviation (Time t0, Real x0, Time dt) const [virtual]

returns the standard deviation $ S(x_{t_0 + Delta t} | x_{t_0} = 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 StochasticProcess1D.

Real evolve (Time t0, Real x0, Time dt, Real dw) const [virtual]

returns the asset value after a time interval $ Delta t $ according to the given discretization. By default, it returns [ E(x_0,t_0,Delta t) + S(x_0,t_0,Delta t) cdot Delta w ] where $ E $ is the expectation and $ S $ the standard deviation.

Reimplemented from StochasticProcess1D.

Author

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Referenced By

GemanRoncoroniProcess(3) is an alias of QuantLib_GemanRoncoroniProcess(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib