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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_g2_forward_process.html">G2ForwardProcess</a></div>
<h1>G2ForwardProcess Class Reference<br>
<small>
[<a class="el" href="group__processes.html">Stochastic processes</a>]</small>
</h1><!-- doxytag: class="QuantLib::G2ForwardProcess" --><!-- doxytag: inherits="QuantLib::ForwardMeasureProcess" --><code>#include <ql/Processes/g2process.hpp></code>
<p>
Inheritance diagram for G2ForwardProcess:<p><center><img src="class_quant_lib_1_1_g2_forward_process__inherit__graph.png" border="0" usemap="#_g2_forward_process__inherit__map" alt="Inheritance graph"></center>
<map name="_g2_forward_process__inherit__map">
<area href="class_quant_lib_1_1_forward_measure_process.html" shape="rect" coords="12,156,196,180" alt="">
<area href="class_quant_lib_1_1_stochastic_process.html" shape="rect" coords="33,81,175,105" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="5,7,88,31" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="112,7,211,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_g2_forward_process-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
forward G2 stochastic process
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff3b1a8d266d0fe23fb9720e4b1c4617"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::G2ForwardProcess" ref="ff3b1a8d266d0fe23fb9720e4b1c4617" args="(Real a, Real sigma, Real b, Real eta, Real rho)" -->
</td><td class="memItemRight" valign="bottom"><b>G2ForwardProcess</b> (Real a, Real sigma, Real b, Real eta, Real rho)</td></tr>
<tr><td colspan="2"><div class="groupHeader">StochasticProcess interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cce0ab2cacc475b2434f24c65c91685a"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::size" ref="cce0ab2cacc475b2434f24c65c91685a" args="() const" -->
Size </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2_forward_process.html#cce0ab2cacc475b2434f24c65c91685a">size</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the number of dimensions of the stochastic process <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="370c708931771eb9459d0ac2db0426ee"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::initialValues" ref="370c708931771eb9459d0ac2db0426ee" args="() const" -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2_forward_process.html#370c708931771eb9459d0ac2db0426ee">initialValues</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the initial values of the state variables <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9e716cd0b67d0a8183a4ffa4ff394757"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::drift" ref="9e716cd0b67d0a8183a4ffa4ff394757" args="(Time t, const Array &x) const" -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2_forward_process.html#9e716cd0b67d0a8183a4ffa4ff394757">drift</a> (Time t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the drift part of the equation, i.e., <img class="formulaInl" alt="$ \mu(t, \mathrm{x}_t) $" src="form_242.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c42da0242ba9ac04b2842dc9f0acd9"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::diffusion" ref="00c42da0242ba9ac04b2842dc9f0acd9" args="(Time t, const Array &x) const" -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2_forward_process.html#00c42da0242ba9ac04b2842dc9f0acd9">diffusion</a> (Time t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, \mathrm{x}_t) $" src="form_243.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2_forward_process.html#51943d498d07fcfacfd0290f810c5b36">expectation</a> (Time t0, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x0, Time dt) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2_forward_process.html#20608f1018c118acbc8b4a6419cef517">stdDeviation</a> (Time t0, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x0, Time dt) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_g2_forward_process.html#86fdc03d99e5766f1e0908205b80148a">covariance</a> (Time t0, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x0, Time dt) const</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c679b55c1897e30b52a79f5c8858a777"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::xForwardDrift" ref="c679b55c1897e30b52a79f5c8858a777" args="(Time t, Time T) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>xForwardDrift</b> (Time t, Time T) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8f94eec6b98619a8d2df005027e445a0"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::yForwardDrift" ref="8f94eec6b98619a8d2df005027e445a0" args="(Time t, Time T) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>yForwardDrift</b> (Time t, Time T) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="926124164e3075717cfaca803452dfe4"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::Mx_T" ref="926124164e3075717cfaca803452dfe4" args="(Real s, Real t, Real T) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>Mx_T</b> (Real s, Real t, Real T) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7a8d10b790f82d05de7e08c0e23abd48"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::My_T" ref="7a8d10b790f82d05de7e08c0e23abd48" args="(Real s, Real t, Real T) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>My_T</b> (Real s, Real t, Real T) const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fb597b35edab96eecbcbf9a2df04f05d"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::x0_" ref="fb597b35edab96eecbcbf9a2df04f05d" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>x0_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11822cc7a38fbfe7925643c3f280283c"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::y0_" ref="11822cc7a38fbfe7925643c3f280283c" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>y0_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="114bd3f70557109ba551776610bb2dc1"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::a_" ref="114bd3f70557109ba551776610bb2dc1" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>a_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="37293181f9beea97f75b133deb9d9119"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::sigma_" ref="37293181f9beea97f75b133deb9d9119" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>sigma_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0d5754808d36bc0b9f0326d84a42efb8"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::b_" ref="0d5754808d36bc0b9f0326d84a42efb8" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>b_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06e2d64229bb485ee1dbf0abef8a0d4d"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::eta_" ref="06e2d64229bb485ee1dbf0abef8a0d4d" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>eta_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="98f57706bc57f4e14ca8c8cb1cfa213b"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::rho_" ref="98f57706bc57f4e14ca8c8cb1cfa213b" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>rho_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0138ade8861b6b96ad34f5113aa5a278"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::xProcess_" ref="0138ade8861b6b96ad34f5113aa5a278" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ornstein_uhlenbeck_process.html">QuantLib::OrnsteinUhlenbeckProcess</a> > </td><td class="memItemRight" valign="bottom"><b>xProcess_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6fd6ac924df1ebbc25944f4a7a261aaa"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::yProcess_" ref="6fd6ac924df1ebbc25944f4a7a261aaa" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ornstein_uhlenbeck_process.html">QuantLib::OrnsteinUhlenbeckProcess</a> > </td><td class="memItemRight" valign="bottom"><b>yProcess_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="51943d498d07fcfacfd0290f810c5b36"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::expectation" ref="51943d498d07fcfacfd0290f810c5b36" args="(Time t0, const Array &x0, Time dt) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a><<a class="el" href="class_quant_lib_1_1_array.html">Array</a>> expectation </td>
<td>(</td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>t0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
<td class="paramname"> <em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>dt</em></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
returns the expectation <img class="formulaInl" alt="$ E(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) $" src="form_244.png"> of the process after a time interval <img class="formulaInl" alt="$ \Delta t $" src="form_245.png"> according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#5ff82c7ea229ea678252bca22f1ee455">StochasticProcess</a>.
</div>
</div><p>
<a class="anchor" name="20608f1018c118acbc8b4a6419cef517"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::stdDeviation" ref="20608f1018c118acbc8b4a6419cef517" args="(Time t0, const Array &x0, Time dt) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a><<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>> stdDeviation </td>
<td>(</td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>t0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
<td class="paramname"> <em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>dt</em></td><td> </td>
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<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [virtual]</code></td>
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<div class="memdoc">
<p>
returns the standard deviation <img class="formulaInl" alt="$ S(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) $" src="form_246.png"> of the process after a time interval <img class="formulaInl" alt="$ \Delta t $" src="form_245.png"> according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#1d143e05259160f677407c6cb3b7d8b4">StochasticProcess</a>.
</div>
</div><p>
<a class="anchor" name="86fdc03d99e5766f1e0908205b80148a"></a><!-- doxytag: member="QuantLib::G2ForwardProcess::covariance" ref="86fdc03d99e5766f1e0908205b80148a" args="(Time t0, const Array &x0, Time dt) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a><<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>> covariance </td>
<td>(</td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>t0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
<td class="paramname"> <em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>dt</em></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [virtual]</code></td>
</tr>
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</div>
<div class="memdoc">
<p>
returns the covariance <img class="formulaInl" alt="$ V(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) $" src="form_247.png"> of the process after a time interval <img class="formulaInl" alt="$ \Delta t $" src="form_245.png"> according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#7d7d88e8f05305804aed59a6521f8a36">StochasticProcess</a>.
</div>
</div><p>
</div>
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