StochasticProcessArray Class Reference

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 > &)

Detailed Description

Array of correlated 1-D stochastic processes

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.

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.

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.

apply()

Disposable<Array> apply ( const Array &  x0, const Array &  dx  ) const

virtual

applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \).

Reimplemented from StochasticProcess.

evolve()

Disposable<Array> evolve ( Time  t0, const Array &  x0, Time  dt, const Array &  dw  ) const

virtual

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.

time()

Time 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.