HybridHestonHullWhiteProcess Class Reference
[Stochastic processes]

Hybrid Heston Hull-White stochastic process. More...

#include <ql/processes/hybridhestonhullwhiteprocess.hpp>

Inheritance diagram for HybridHestonHullWhiteProcess:

List of all members.

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< ArrayinitialValues () const
 returns the initial values of the state variables
Disposable< Arraydrift (Time t, const Array &x) const
 returns the drift part of the equation, i.e., $ \mu(t, \mathrm{x}_t) $
Disposable< Matrixdiffusion (Time t, const Array &x) const
 returns the diffusion part of the equation, i.e. $ \sigma(t, \mathrm{x}_t) $
Disposable< Arrayapply (const Array &x0, const Array &dx) const
Disposable< Arrayevolve (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_


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.

Reimplemented from StochasticProcess.