QuantLib_HullWhiteProcess man page

HullWhiteProcess — Hull-White stochastic process.

Synopsis

#include <ql/processes/hullwhiteprocess.hpp>

Inherits StochasticProcess1D.

Public Member Functions

HullWhiteProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma)

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 x) 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 x0, Time dt) const

Real a () const

Real sigma () const

Real alpha (Time t) const

Protected Attributes

boost::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > process_

Handle< YieldTermStructure > h_

Real a_

Real sigma_

Additional Inherited Members

Detailed Description

Hull-White 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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

HullWhiteProcess(3) is an alias of QuantLib_HullWhiteProcess(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib