A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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Square-root process class. More...
#include <ql/processes/squarerootprocess.hpp>
Inheritance diagram for SquareRootProcess:Public Member Functions | |
| SquareRootProcess (Real b, Real a, Volatility sigma, Real x0=0.0, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization)) | |
| Public Member Functions inherited from StochasticProcess1D | |
| virtual Real | expectation (Time t0, Real x0, Time dt) const |
| virtual Real | stdDeviation (Time t0, Real x0, Time dt) const |
| virtual Real | variance (Time t0, Real x0, Time dt) const |
| 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 | |
| virtual Time | time (const Date &) const |
| 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 () |
StochasticProcess 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 x) const |
| returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) | |
| Real | a () const |
| Real | b () const |
| Real | sigma () 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 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 StochasticProcess1D | |
| ext::shared_ptr< discretization > | discretization_ |
| Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
Square-root process class.
This class describes a square-root process governed by
\[ dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t. \]
