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

Detailed Description
Array of correlated 1-D stochastic processes
Public Member Functions | |
| StochasticProcessArray (const std::vector< boost::shared_ptr< StochasticProcess1D > > &, const Matrix &correlation) | |
| 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 |
| Disposable< Array > | apply (const Array &x0, const Array &dx) const |
| Time | time (const Date &) const |
| const boost::shared_ptr< StochasticProcess1D > & | process (Size i) const |
| Disposable< Matrix > | correlation () const |
Protected Attributes | |
|
std::vector< boost::shared_ptr< StochasticProcess1D > > | processes_ |
| Matrix | sqrtCorrelation_ |
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.
| Disposable<Array> apply | ( | const Array & | x0, | |
| const Array & | dx | |||
| ) | const [virtual] |
applies a change to the asset value. By default, it returns
.
Reimplemented from StochasticProcess.
| 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 from StochasticProcess.