GSR stochastic process. More...

#include <ql/processes/gsrprocess.hpp>

Inheritance diagram for GsrProcess:

Public Member Functions
	GsrProcess (const Array &times, const Array &vols, const Array &reversions, Real T=60.0, const Date &referenceDate=Null< Date >(), const DayCounter &dc=DayCounter())

StochasticProcess1D interface
Real	x0 () const
	returns the initial value of the state variable

Real	drift (Time t, Real x) const
	returns the drift part of the equation, i.e. \( \mu(t, x_t) \)

Real	diffusion (Time t, Real) const
	returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)

Real	expectation (Time t0, Real x0, Time dt) const

Real	stdDeviation (Time t0, Real x0, Time dt) const

Real	variance (Time t0, Real, Time dt) const

Real	time (const Date &d) const

Public Member Functions inherited from ForwardMeasureProcess1D
Time	getForwardMeasureTime () const

Public Member Functions inherited from StochasticProcess1D
virtual Real	evolve (Time t0, Real x0, Time dt, Real dw) const

virtual Real	apply (Real x0, Real dx) 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 ()

ForwardMeasureProcess1D interface
void	setForwardMeasureTime (Time t)

Real	sigma (Time t) const
	additional inspectors

Real	reversion (Time t) const

Real	y (Time t) const

Real	G (Time t, Time T, Real x) const

void	flushCache () const
	reset cache

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 ForwardMeasureProcess1D
	ForwardMeasureProcess1D (Time T)

	ForwardMeasureProcess1D (const ext::shared_ptr< discretization > &)

Protected Member Functions inherited from StochasticProcess1D
	StochasticProcess1D ()

	StochasticProcess1D (const ext::shared_ptr< discretization > &)

Protected Member Functions inherited from StochasticProcess
	StochasticProcess ()

	StochasticProcess (const ext::shared_ptr< discretization > &)

Protected Attributes inherited from ForwardMeasureProcess1D
Time	T_

Protected Attributes inherited from StochasticProcess1D
ext::shared_ptr< discretization >	discretization_

Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretization >	discretization_

Detailed Description

GSR stochastic process.

Member Function Documentation

◆ expectation()

Real expectation	(	Time	t0,
		Real	x0,
		Time	dt
	)		const

virtual

returns the expectation \( E(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.

◆ stdDeviation()

Real stdDeviation	(	Time	t0,
		Real	x0,
		Time	dt
	)		const

virtual

returns the standard deviation \( S(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.

◆ variance()

Real variance	(	Time	t0,
		Real	x0,
		Time	dt
	)		const

virtual

returns the variance \( V(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.

◆ time()

Real 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.

Public Member Functions

ForwardMeasureProcess1D interface

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ expectation()

◆ stdDeviation()

◆ variance()

◆ time()