G2ForwardProcess Class Reference
[Stochastic processes]
#include <ql/Processes/g2process.hpp>
Inheritance diagram for G2ForwardProcess:

Detailed Description
forward G2 stochastic process
Public Member Functions | |
| G2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) | |
StochasticProcess interface | |
| Size | size () const |
| returns the number of dimensions of the stochastic process | |
| Disposable< Array > | initialValues () const |
| returns the initial values of the state variables | |
| Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. | |
| 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 |
Protected Member Functions | |
| Real | xForwardDrift (Time t, Time T) const |
| Real | yForwardDrift (Time t, Time T) const |
| Real | Mx_T (Real s, Real t, Real T) const |
| Real | My_T (Real s, Real t, Real T) const |
Protected Attributes | |
| Real | x0_ |
| Real | y0_ |
| Real | a_ |
| Real | sigma_ |
| Real | b_ |
| Real | eta_ |
| Real | rho_ |
| boost::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > | xProcess_ |
| boost::shared_ptr< QuantLib::OrnsteinUhlenbeckProcess > | yProcess_ |
Member Function Documentation
| 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 from StochasticProcess.
| 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 from StochasticProcess.
| 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 from StochasticProcess.