StochasticProcessArray Class Reference#include <ql/Processes/stochasticprocessarray.hpp>
Inheritance diagram for StochasticProcessArray:
[legend]List of all members.
Detailed Description
Array of correlated 1-D stochastic processes.
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Public Member Functions |
| StochasticProcessArray (const std::vector< boost::shared_ptr< StochasticProcess1D > > &, const Matrix &correlation) |
Size | size () const |
| returns the number of dimensions of the stochastic process
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Disposable< Array > | initialValues () const |
| returns the initial values of the state variables
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Disposable< Array > | drift (Time t, const Array &x) const |
| returns the drift part of the equation, i.e.,
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Disposable< Matrix > | diffusion (Time t, const Array &x) const |
| returns the diffusion part of the equation, i.e.
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Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
Disposable< Array > | apply (const Array &x0, const Array &dx) const |
Time | time (const Date &) const |
const boost::shared_ptr< StochasticProcess1D > & | process (Size i) const |
Disposable< Matrix > | correlation () const |
Protected Attributes |
std::vector< boost::shared_ptr<
StochasticProcess1D > > | processes_ |
Matrix | sqrtCorrelation_ |
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 from StochasticProcess. |
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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 from StochasticProcess. |
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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 from StochasticProcess. |
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applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess. |
Time time |
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const Date & |
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const [virtual] |
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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. |
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