QuantLib_HybridHestonHullWhiteProcess man page

HybridHestonHullWhiteProcess — Hybrid Heston Hull-White stochastic process.  


#include <ql/processes/hybridhestonhullwhiteprocess.hpp>

Inherits StochasticProcess.

Public Types

enum Discretization { Euler, BSMHullWhite }

Public Member Functions

HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Discretization discretization=BSMHullWhite)
Size size () const
returns the number of dimensions of the stochastic process
Disposable< Array > initialValues () const
returns the initial values of the state variables
Disposable< Array > drift (Time t, const Array &x) const
returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t) $
Disposable< Matrix > diffusion (Time t, const Array &x) const
returns the diffusion part of the equation, i.e. $ sigma(t, mathrm{x}_t) $
Disposable< Array > apply (const Array &x0, const Array &dx) const
Disposable< Array > evolve (Time t0, const Array &x0, Time dt, const Array &dw) const
DiscountFactor numeraire (Time t, const Array &x) const
const boost::shared_ptr< HestonProcess > & hestonProcess () const
const boost::shared_ptr< HullWhiteForwardProcess > & hullWhiteProcess () const
Real eta () const
Time time (const Date &date) const
Discretization discretization () const
void update ()

Protected Attributes

const boost::shared_ptr< HestonProcess > hestonProcess_
const boost::shared_ptr< HullWhiteForwardProcess > hullWhiteProcess_
const boost::shared_ptr< HullWhite > hullWhiteModel_
const Real corrEquityShortRate_
const Discretization discretization_
const Real maxRho_
const Time T_
DiscountFactor endDiscount_

Additional Inherited Members

Detailed Description

Hybrid Heston Hull-White stochastic process.

This class implements a three factor Heston Hull-White model


This class was not tested enough to guarantee its functionality... work in progress

Member Function Documentation

Disposable<Array> apply (const Array & x0, const Array & dx) const [virtual]

applies a change to the asset value. By default, it returns $ mathrm{x} + Delta mathrm{x} $.

Reimplemented from StochasticProcess.

Disposable<Array> evolve (Time t0, const Array & x0, Time dt, const Array & dw) const [virtual]

returns the asset value after a time interval $ Delta t $ according to the given discretization. By default, it returns [ E(mathrm{x}_0,t_0,Delta t) + S(mathrm{x}_0,t_0,Delta t) cdot Delta mathrm{w} ] where $ E $ is the expectation and $ S $ the standard deviation.

Reimplemented from StochasticProcess.

Time time (const Date &) const [virtual]

returns the time value corresponding to the given date in the reference system of the stochastic process.


As a number of processes might not need this functionality, a default implementation is given which raises an exception.

Reimplemented from StochasticProcess.

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


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Referenced By

corrEquityShortRate_(3), discretization(3), discretization_(3), endDiscount_(3), hestonProcess_(3), hullWhiteProcess(3), hullWhiteProcess_(3), HybridHestonHullWhiteProcess(3) and maxRho_(3) are aliases of QuantLib_HybridHestonHullWhiteProcess(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib