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.


Generated automatically by Doxygen for QuantLib from the source code.

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 Sep 23 2016 Version 1.8.1 QuantLib