HullWhiteForwardProcess Class Reference
[Stochastic processes]

#include <ql/processes/hullwhiteprocess.hpp>

Inheritance diagram for HullWhiteForwardProcess:

Inheritance graph
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List of all members.

Detailed Description

Forward Hull-White stochastic process


Public Member Functions

 HullWhiteForwardProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma)
StochasticProcess1D interface
Real x0 () const
 returns the initial value of the state variable
Real drift (Time t, Real x) const
 returns the drift part of the equation, i.e. $ \mu(t, x_t) $
Real diffusion (Time t, Real x) const
 returns the diffusion part of the equation, i.e. $ \sigma(t, x_t) $
Real expectation (Time t0, Real x0, Time dt) const
Real stdDeviation (Time t0, Real x0, Time dt) const
Real variance (Time t0, Real x0, Time dt) const

Protected Member Functions

Real alpha (Time t) const
Real M_T (Real s, Real t, Real T) const
Real B (Time t, Time T) const

Protected Attributes

boost::shared_ptr< QuantLib::OrnsteinUhlenbeckProcessprocess_
Handle< YieldTermStructureh_
Real a_
Real sigma_


Member Function Documentation

Real expectation ( Time  t0,
Real  x0,
Time  dt 
) const [virtual]

returns the expectation $ E(x_{t_0 + \Delta t} | x_{t_0} = x_0) $ of the process after a time interval $ \Delta t $ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.

Real stdDeviation ( Time  t0,
Real  x0,
Time  dt 
) const [virtual]

returns the standard deviation $ S(x_{t_0 + \Delta t} | x_{t_0} = x_0) $ of the process after a time interval $ \Delta t $ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.

Real variance ( Time  t0,
Real  x0,
Time  dt 
) const [virtual]

returns the variance $ V(x_{t_0 + \Delta t} | x_{t_0} = x_0) $ of the process after a time interval $ \Delta t $ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.