HybridHestonHullWhiteProcess Class Reference
[Stochastic processes]
Hybrid Heston Hull-White stochastic process.
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#include <ql/processes/hybridhestonhullwhiteprocess.hpp>

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., ![]() | |
Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. ![]() | |
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_ |
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 .
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 according to the given discretization. By default, it returns
where is the expectation and
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.