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
virtual Disposable<Array> expectation | ( | Time | t0, | |
const Array & | x0, | |||
Time | dt | |||
) | const [virtual] |
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 G2Process, G2ForwardProcess, and StochasticProcessArray.
virtual Disposable<Matrix> stdDeviation | ( | Time | t0, | |
const Array & | x0, | |||
Time | dt | |||
) | const [virtual] |
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 G2Process, G2ForwardProcess, and StochasticProcessArray.
virtual Disposable<Matrix> covariance | ( | Time | t0, | |
const Array & | x0, | |||
Time | dt | |||
) | const [virtual] |
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 G2Process, G2ForwardProcess, LiborForwardModelProcess, and StochasticProcessArray.
virtual 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 in HestonProcess, LiborForwardModelProcess, and StochasticProcessArray.
virtual Disposable<Array> apply | ( | const Array & | x0, | |
const Array & | dx | |||
) | const [virtual] |
applies a change to the asset value. By default, it returns .
Reimplemented in HestonProcess, LiborForwardModelProcess, and StochasticProcessArray.
virtual 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 in GeneralizedBlackScholesProcess, HestonProcess, Merton76Process, and StochasticProcessArray.
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.
Implements Observer.
Reimplemented in GeneralizedBlackScholesProcess, and HestonProcess.