StochasticProcess Class Reference
#include <ql/stochasticprocess.hpp>
Inheritance diagram for StochasticProcess:

Detailed Description
multi-dimensional stochastic process class.This class describes a stochastic process governed by
Public Member Functions | |
Stochastic process interface | |
virtual Size | size () const =0 |
returns the number of dimensions of the stochastic process | |
virtual Size | factors () const |
returns the number of independent factors of the process | |
virtual Disposable< Array > | initialValues () const =0 |
returns the initial values of the state variables | |
virtual Disposable< Array > | drift (Time t, const Array &x) const =0 |
returns the drift part of the equation, i.e., ![]() | |
virtual Disposable< Matrix > | diffusion (Time t, const Array &x) const =0 |
returns the diffusion part of the equation, i.e. ![]() | |
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 |
utilities | |
virtual Time | time (const Date &) const |
Observer interface | |
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... |
Member Function Documentation
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returns the expectation Reimplemented in StochasticProcessArray. |
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returns the standard deviation Reimplemented in StochasticProcessArray. |
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returns the covariance Reimplemented in LiborForwardModelProcess, and StochasticProcessArray. |
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returns the asset value after a time interval
where Reimplemented in LiborForwardModelProcess. |
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applies a change to the asset value. By default, it returns Reimplemented in HestonProcess, LiborForwardModelProcess, and StochasticProcessArray. |
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returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented in BlackScholesProcess, HestonProcess, Merton76Process, and StochasticProcessArray. |
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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. |