Hybrid Heston Hull-White stochastic process. More...
#include <ql/processes/hybridhestonhullwhiteprocess.hpp>
Inheritance diagram for HybridHestonHullWhiteProcess:Public Types | |
| enum | Discretization { Euler, BSMHullWhite } |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Discretization discretization=BSMHullWhite) | |
| 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., \( \mu(t, \mathrm{x}_t) \) | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const |
| returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) | |
| Disposable< Array > | apply (const Array &x0, const Array &dx) const |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
| DiscountFactor | numeraire (Time t, const Array &x) const |
| const boost::shared_ptr< HestonProcess > & | hestonProcess () const |
| const boost::shared_ptr< HullWhiteForwardProcess > & | hullWhiteProcess () const |
| Real | eta () const |
| Time | time (const Date &date) const |
| Discretization | discretization () const |
| void | update () |
Public Member Functions inherited from StochasticProcess | |
| virtual Size | factors () const |
| returns the number of independent factors of the process | |
| 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 |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Attributes | |
| const boost::shared_ptr< HestonProcess > | hestonProcess_ |
| const boost::shared_ptr< HullWhiteForwardProcess > | hullWhiteProcess_ |
| const boost::shared_ptr< HullWhite > | hullWhiteModel_ |
| const Real | corrEquityShortRate_ |
| const Discretization | discretization_ |
| const Real | maxRho_ |
| const Time | T_ |
| DiscountFactor | endDiscount_ |
Protected Attributes inherited from StochasticProcess | |
| boost::shared_ptr< discretization > | discretization_ |
Additional Inherited Members | |
Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess (const boost::shared_ptr< discretization > &) | |
Hybrid Heston Hull-White stochastic process.
This class implements a three factor Heston Hull-White model
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virtual |
applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \).
Reimplemented from StochasticProcess.
returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns
\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]
where \( E \) is the expectation and \( S \) the standard deviation.
Reimplemented from StochasticProcess.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.
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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.