QuantLib_HybridHestonHullWhiteProcess man page

HybridHestonHullWhiteProcess — Hybrid Heston Hull-White stochastic process.  

Synopsis

#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

Bug

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.

Note:

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.

Author

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 Feb 10 2017 Version 1.9.1 QuantLib