Array of correlated 1-D stochastic processes More...
#include <ql/processes/stochasticprocessarray.hpp>
Inheritance diagram for StochasticProcessArray:Public Member Functions | |
| StochasticProcessArray (const std::vector< ext::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., \( \mu(t, \mathrm{x}_t) \) | |
| Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const |
| returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) | |
| Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
| Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
| Disposable< Array > | apply (const Array &x0, const Array &dx) const |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
| Time | time (const Date &) const |
| const ext::shared_ptr< StochasticProcess1D > & | process (Size i) const |
| Disposable< Matrix > | correlation () const |
Public Member Functions inherited from StochasticProcess | |
| virtual Size | factors () const |
| returns the number of independent factors of the process | |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Attributes | |
| std::vector< ext::shared_ptr< StochasticProcess1D > > | processes_ |
| Matrix | sqrtCorrelation_ |
Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess () | |
| StochasticProcess (const ext::shared_ptr< discretization > &) | |
Array of correlated 1-D stochastic processes
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virtual |
returns the expectation \( E(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) 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 StochasticProcess.
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virtual |
returns the covariance \( V(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) 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 StochasticProcess.
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virtual |
returns the standard deviation \( S(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) \) 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 StochasticProcess.
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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.