# QuantLib_GsrProcess man page

GsrProcess — GSR stochastic process.

## Synopsis

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

Inherits **ForwardMeasureProcess1D**.

### Public Member Functions

GsrProcess(constArray×, constArray&vols, constArray&reversions, constRealT=60.0, constDate&referenceDate=Null<Date>(), constDayCounter&dc=DayCounter())Real sigma(Timet) const

additional inspectorsReal reversion(Timet) constReal y(Timet) constReal G(Timet,TimeT,Realx) const

voidflushCache() const

reset cache

**StochasticProcess1D interface**

Real x0() const

returns the initial value of the state variableReal drift(Timet,Realx) const

returns the drift part of the equation, i.e. $ mu(t, x_t) $Real diffusion(Timet,Real) const

returns the diffusion part of the equation, i.e. $ sigma(t, x_t) $Real expectation(Timet0,Real x0,Timedt) constReal stdDeviation(Timet0,Real x0,Timedt) constReal variance(Timet0,Real,Timedt) constReal time(constDate&d) const

**ForwardMeasureProcess1D interface**

voidsetForwardMeasureTime(Timet)

### 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).