QuantLib_MfStateProcess man page

MfStateProcess — Markov functional state process class.

Synopsis

#include <ql/processes/mfstateprocess.hpp>

Inherits StochasticProcess1D.

Public Member Functions

MfStateProcess (Real reversion, const Array &times, const Array &vols)

StochasticProcess 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

Additional Inherited Members

Detailed Description

Markov functional state process class.

This class describes the process governed by [ dx = sigma(t) e^{at} dW(t) ]

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

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Referenced By

MfStateProcess(3) is an alias of QuantLib_MfStateProcess(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib