QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
G2Process Class Reference

G2 stochastic process More...

#include <ql/processes/g2process.hpp>

+ Inheritance diagram for G2Process:

Public Member Functions

 G2Process (Real a, Real sigma, Real b, Real eta, Real rho)
 
- Public Member Functions inherited from StochasticProcess
virtual Size factors () const
 returns the number of independent factors of the process
 
virtual Disposable< Arrayevolve (Time t0, const Array &x0, Time dt, const Array &dw) const
 
virtual Disposable< Arrayapply (const Array &x0, const Array &dx) const
 
virtual Time time (const Date &) const
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

StochasticProcess interface

Size size () const
 returns the number of dimensions of the stochastic process
 
Disposable< ArrayinitialValues () const
 returns the initial values of the state variables
 
Disposable< Arraydrift (Time t, const Array &x) const
 returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
 
Disposable< Matrixdiffusion (Time t, const Array &x) const
 returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
 
Disposable< Arrayexpectation (Time t0, const Array &x0, Time dt) const
 
Disposable< MatrixstdDeviation (Time t0, const Array &x0, Time dt) const
 
Disposable< Matrixcovariance (Time t0, const Array &x0, Time dt) const
 
Real x0 () const
 
Real y0 () const
 
Real a () const
 
Real sigma () const
 
Real b () const
 
Real eta () const
 
Real rho () const
 

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 > &)
 
- Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretizationdiscretization_
 

Detailed Description

G2 stochastic process

Member Function Documentation

◆ expectation()

Disposable<Array> expectation ( Time  t0,
const Array x0,
Time  dt 
) const
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.

◆ stdDeviation()

Disposable<Matrix> stdDeviation ( Time  t0,
const Array x0,
Time  dt 
) const
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.

◆ covariance()

Disposable<Matrix> covariance ( Time  t0,
const Array x0,
Time  dt 
) const
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.