QuantLib 0.3.11
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Reference manual
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StochasticProcess Class Reference#include <ql/stochasticprocess.hpp>
Inheritance diagram for StochasticProcess:
[legend]List of all members.
Detailed Description
multi-dimensional stochastic process class.
This class describes a stochastic process governed by
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Public Member Functions |
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virtual Size | size () const =0 |
| returns the number of dimensions of the stochastic process
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virtual Size | factors () const |
| returns the number of independent factors of the process
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virtual Disposable< Array > | initialValues () const =0 |
| returns the initial values of the state variables
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virtual Disposable< Array > | drift (Time t, const Array &x) const =0 |
| returns the drift part of the equation, i.e.,
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virtual Disposable< Matrix > | diffusion (Time t, const Array &x) const =0 |
| returns the diffusion part of the equation, i.e.
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virtual Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
virtual Disposable< Array > | apply (const Array &x0, const Array &dx) const |
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virtual Time | time (const Date &) const |
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void | update () |
Protected Member Functions |
| StochasticProcess (const boost::shared_ptr< discretization > &) |
Protected Attributes |
boost::shared_ptr< discretization > | discretization_ |
Classes |
class | discretization |
| discretization of a stochastic process over a given time interval More...
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Member Function Documentation
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returns the expectation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in StochasticProcessArray. |
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returns the standard deviation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in StochasticProcessArray. |
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returns the covariance of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in StochasticProcessArray. |
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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 in CapletLiborMarketModelProcess. |
virtual Time time |
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const Date & |
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const [virtual] |
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void update |
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[virtual] |
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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.
Reimplemented in BlackScholesProcess. |
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