QuantLib_GsrProcess man page

GsrProcess — GSR stochastic process.

Synopsis

#include <ql/processes/gsrprocess.hpp>

Inherits ForwardMeasureProcess1D.

Public Member Functions

GsrProcess (const Array &times, 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

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Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib