# QuantLib_GsrProcess man page

GsrProcess — GSR stochastic process.

## Synopsis

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

Inherits **ForwardMeasureProcess1D**.

### Public Member Functions

**GsrProcess** (const **Array** ×, const **Array** &vols, const **Array** &reversions, const **Real** T=60.0, const **Date** &referenceDate=**Null**< **Date** >(), const **DayCounter** &dc=**DayCounter**())**Real sigma** (**Time** t) const

additional inspectors **Real reversion** (**Time** t) const**Real y** (**Time** t) const**Real G** (**Time** t, **Time** T, **Real** x) const

void **flushCache** () const

reset cache

**StochasticProcess1D interface**

**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**) const

returns the diffusion part of the equation, i.e. $ sigma(t, x_t) $ **Real expectation** (**Time** t0, **Real x0**, **Time** dt) const**Real stdDeviation** (**Time** t0, **Real x0**, **Time** dt) const**Real variance** (**Time** t0, **Real**, **Time** dt) const**Real time** (const **Date** &d) const

**ForwardMeasureProcess1D interface**

void **setForwardMeasureTime** (**Time** t)

### Additional Inherited Members

## Detailed Description

GSR stochastic process.

## Member Function Documentation

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

returns the expectation $ E(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 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 variance (Time t0, Real x0, Time dt) const [virtual]

returns the variance $ V(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 time (const Date &) const [virtual]

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**.

## Author

Generated automatically by Doxygen for QuantLib from the source code.

## Referenced By

flushCache(3), G(3), GsrProcess(3) and y(3) are aliases of QuantLib_GsrProcess(3).