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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_hybrid_heston_hull_white_process.html">HybridHestonHullWhiteProcess</a></div>
<h1>HybridHestonHullWhiteProcess Class Reference<br>
<small>
[<a class="el" href="group__processes.html">Stochastic processes</a>]</small>
</h1><!-- doxytag: class="QuantLib::HybridHestonHullWhiteProcess" --><!-- doxytag: inherits="QuantLib::JointStochasticProcess" --><code>#include <ql/processes/hybridhestonhullwhiteprocess.hpp></code>
<p>
Inherits JointStochasticProcess.
<p>
<p>
<a href="class_quant_lib_1_1_hybrid_heston_hull_white_process-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Hybrid Heston Hull-White stochastic process.
<p>
This class implements a three factor Heston Hull-White model<p>
<dl compact><dt><b><a class="el" href="bug.html#_bug000012">Bug:</a></b></dt><dd>This class was not tested enough to guarantee its functionality... work in progress</dd></dl>
<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="22014195af802217bcaa22fa34e8665d"></a><!-- doxytag: member="QuantLib::HybridHestonHullWhiteProcess::HybridHestonHullWhiteProcess" ref="22014195af802217bcaa22fa34e8665d" args="(const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors)" -->
</td><td class="memItemRight" valign="bottom"><b>HybridHestonHullWhiteProcess</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > &hestonProcess, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_hull_white_forward_process.html">HullWhiteForwardProcess</a> > &hullWhiteProcess, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> corrEquityShortRate, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> factors)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1a14251849286df764c0654e8521f39e"></a><!-- doxytag: member="QuantLib::HybridHestonHullWhiteProcess::preEvolve" ref="1a14251849286df764c0654e8521f39e" args="(Time t0, const Array &x0, Time dt, const Array &dw) const " -->
void </td><td class="memItemRight" valign="bottom"><b>preEvolve</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x0, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &dw) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2bd927d17d98b8bf3a25780fc8c17f8"></a><!-- doxytag: member="QuantLib::HybridHestonHullWhiteProcess::postEvolve" ref="d2bd927d17d98b8bf3a25780fc8c17f8" args="(Time t0, const Array &x0, Time dt, const Array &dw, const Array &y0) 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"><b>postEvolve</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x0, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &dw, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &y0) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4565aca1dd76a65766425e5fb55dbcd9"></a><!-- doxytag: member="QuantLib::HybridHestonHullWhiteProcess::numeraire" ref="4565aca1dd76a65766425e5fb55dbcd9" args="(Time t, const Array &x) const " -->
<a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><b>numeraire</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e6389f8dc2ae45cba76a548b62307269"></a><!-- doxytag: member="QuantLib::HybridHestonHullWhiteProcess::correlationIsStateDependent" ref="e6389f8dc2ae45cba76a548b62307269" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><b>correlationIsStateDependent</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="59ee918da29b3d405b18b9883d91ca6d"></a><!-- doxytag: member="QuantLib::HybridHestonHullWhiteProcess::crossModelCorrelation" ref="59ee918da29b3d405b18b9883d91ca6d" args="(Time t0, const Array &x0) 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"><b>crossModelCorrelation</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x0) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hybrid_heston_hull_white_process.html#c5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::HybridHestonHullWhiteProcess::update" ref="c5c54df7ed3b930268c8d7752c101725" args="()" -->
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<td class="memname">void update </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [virtual]</code></td>
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<p>
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#c5c54df7ed3b930268c8d7752c101725">StochasticProcess</a>.</p>
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