HullWhiteProcess Class Reference
[Stochastic processes]

Hull-White stochastic process. More...

#include <ql/processes/hullwhiteprocess.hpp>

Inheritance diagram for HullWhiteProcess:

List of all members.

Public Member Functions

 HullWhiteProcess (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
Real a () const
Real sigma () const
Real alpha (Time t) const

Protected Attributes

boost::shared_ptr
< QuantLib::OrnsteinUhlenbeckProcess
process_
Handle< YieldTermStructureh_
Real a_
Real sigma_


Detailed Description

Hull-White stochastic process.


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.