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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_stochastic_process_array.html">StochasticProcessArray</a></div>
<h1>StochasticProcessArray Class Reference<br>
<small>
[<a class="el" href="group__processes.html">Stochastic processes</a>]</small>
</h1><!-- doxytag: class="QuantLib::StochasticProcessArray" --><!-- doxytag: inherits="QuantLib::StochasticProcess" --><code>#include <ql/processes/stochasticprocessarray.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for StochasticProcessArray:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_stochastic_process_array__inherit__graph.png" border="0" usemap="#_stochastic_process_array__inherit__map" alt="Inheritance graph"></center>
<map name="_stochastic_process_array__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_stochastic_process.html" title="multi-dimensional stochastic process class." alt="" coords="23,7,161,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_stochastic_process_array-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Array of correlated 1-D stochastic processes
<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="7175ec559fef30868cdb577f3990625c"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::StochasticProcessArray" ref="7175ec559fef30868cdb577f3990625c" args="(const std::vector< boost::shared_ptr< StochasticProcess1D > > &, const Matrix &correlation)" -->
</td><td class="memItemRight" valign="bottom"><b>StochasticProcessArray</b> (const std::vector< boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > > &, const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &correlation)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d78a687cf2a391198bb3cbc08bc06cb"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::size" ref="9d78a687cf2a391198bb3cbc08bc06cb" args="() const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#9d78a687cf2a391198bb3cbc08bc06cb">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="00ce0583b0451d83b803b8a40cce1a2b"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::initialValues" ref="00ce0583b0451d83b803b8a40cce1a2b" 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_stochastic_process_array.html#00ce0583b0451d83b803b8a40cce1a2b">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="f971c27bf35db18d8e7e7374e7cf234c"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::drift" ref="f971c27bf35db18d8e7e7374e7cf234c" 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_stochastic_process_array.html#f971c27bf35db18d8e7e7374e7cf234c">drift</a> (<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="mdescLeft"> </td><td class="mdescRight">returns the drift part of the equation, i.e., <img class="formulaInl" alt="$ \mu(t, \mathrm{x}_t) $" src="form_270.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#30a103c583af9320f08337052d38c622">expectation</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x0, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c79a85dc57b977a0eed8822b1fe487f"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::diffusion" ref="4c79a85dc57b977a0eed8822b1fe487f" args="(Time t, const Array &x) const " -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#4c79a85dc57b977a0eed8822b1fe487f">diffusion</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, \mathrm{x}_t) $" src="form_271.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_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#a35146549bd167f407791342e89927e3">covariance</a> (<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 </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_stochastic_process_array.html#b55b8ade4729f4509ad40bbaab050a0d">stdDeviation</a> (<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 </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_stochastic_process_array.html#87d025fa8e0daa4e048320c7ac266bb3">apply</a> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x0, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &dx) 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_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#89ac97af7698aa193a9c0731dcdd9d8a">evolve</a> (<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="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#f8a1d4ca4369b3009d08291f1c2d7744">time</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e4f21c1c343821be6a319ea45817a302"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::process" ref="e4f21c1c343821be6a319ea45817a302" args="(Size i) const " -->
const boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > & </td><td class="memItemRight" valign="bottom"><b>process</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="64c037aeaf050797d906434dc3ecaa0d"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::correlation" ref="64c037aeaf050797d906434dc3ecaa0d" args="() 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>correlation</b> () 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="baf7257dd7739d435e30f80b9b9c5716"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::processes_" ref="baf7257dd7739d435e30f80b9b9c5716" args="" -->
std::vector< boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > > </td><td class="memItemRight" valign="bottom"><b>processes_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6381994ae1fcee1d122ff4775aacfdd9"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::sqrtCorrelation_" ref="6381994ae1fcee1d122ff4775aacfdd9" args="" -->
<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> </td><td class="memItemRight" valign="bottom"><b>sqrtCorrelation_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="30a103c583af9320f08337052d38c622"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::expectation" ref="30a103c583af9320f08337052d38c622" args="(Time t0, const Array &x0, Time dt) const " -->
<div class="memitem">
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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_array.html">Array</a>> expectation </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>t0</em>, </td>
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<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>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </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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<p>
returns the expectation <img class="formulaInl" alt="$ E(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) $" src="form_272.png"> of the process after a time interval <img class="formulaInl" alt="$ \Delta t $" src="form_273.png"> according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#90f2fadbc2346fb7f6c94611215a068b">StochasticProcess</a>.</p>
</div>
</div><p>
<a class="anchor" name="a35146549bd167f407791342e89927e3"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::covariance" ref="a35146549bd167f407791342e89927e3" args="(Time t0, const Array &x0, Time dt) const " -->
<div class="memitem">
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<td class="memname"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a><<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>> covariance </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>t0</em>, </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>dt</em></td><td> </td>
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<td>)</td>
<td></td><td></td><td width="100%"> const<code> [virtual]</code></td>
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<p>
returns the covariance <img class="formulaInl" alt="$ V(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) $" src="form_275.png"> of the process after a time interval <img class="formulaInl" alt="$ \Delta t $" src="form_273.png"> according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#8ddfc241f0a0f0e37d2245bf2cde4354">StochasticProcess</a>.</p>
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<a class="anchor" name="b55b8ade4729f4509ad40bbaab050a0d"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::stdDeviation" ref="b55b8ade4729f4509ad40bbaab050a0d" args="(Time t0, const Array &x0, Time dt) const " -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a><<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>> stdDeviation </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>t0</em>, </td>
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<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
<td class="paramname"> <em>x0</em>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>dt</em></td><td> </td>
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returns the standard deviation <img class="formulaInl" alt="$ S(\mathrm{x}_{t_0 + \Delta t} | \mathrm{x}_{t_0} = \mathrm{x}_0) $" src="form_274.png"> of the process after a time interval <img class="formulaInl" alt="$ \Delta t $" src="form_273.png"> according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#f60142c7a240fe9fa7a9458740815b9c">StochasticProcess</a>.</p>
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<a class="anchor" name="87d025fa8e0daa4e048320c7ac266bb3"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::apply" ref="87d025fa8e0daa4e048320c7ac266bb3" args="(const Array &x0, const Array &dx) const " -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a><<a class="el" href="class_quant_lib_1_1_array.html">Array</a>> apply </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
<td class="paramname"> <em>x0</em>, </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
<td class="paramname"> <em>dx</em></td><td> </td>
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applies a change to the asset value. By default, it returns <img class="formulaInl" alt="$ \mathrm{x} + \Delta \mathrm{x} $" src="form_278.png">.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#07090b508d659de1879284548f3ea344">StochasticProcess</a>.</p>
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<a class="anchor" name="89ac97af7698aa193a9c0731dcdd9d8a"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::evolve" ref="89ac97af7698aa193a9c0731dcdd9d8a" args="(Time t0, const Array &x0, Time dt, const Array &dw) const " -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a><<a class="el" href="class_quant_lib_1_1_array.html">Array</a>> evolve </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>t0</em>, </td>
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<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
<td class="paramname"> <em>x0</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>dt</em>, </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td>
<td class="paramname"> <em>dw</em></td><td> </td>
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<td>)</td>
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returns the asset value after a time interval <img class="formulaInl" alt="$ \Delta t $" src="form_273.png"> according to the given discretization. By default, it returns <p class="formulaDsp">
<img class="formulaDsp" alt="\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]" src="form_276.png">
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where <img class="formulaInl" alt="$ E $" src="form_277.png"> is the expectation and <img class="formulaInl" alt="$ S $" src="form_143.png"> the standard deviation.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#dd82def76a374049a66ae8cb3cfa0e97">StochasticProcess</a>.</p>
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<a class="anchor" name="f8a1d4ca4369b3009d08291f1c2d7744"></a><!-- doxytag: member="QuantLib::StochasticProcessArray::time" ref="f8a1d4ca4369b3009d08291f1c2d7744" args="(const Date &) const " -->
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<td class="memname"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"> </td>
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<td width="100%"> const<code> [virtual]</code></td>
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<p>
returns the time value corresponding to the given date in the reference system of the stochastic process.<p>
<dl class="note" compact><dt><b>Note:</b></dt><dd>As a number of processes might not need this functionality, a default implementation is given which raises an exception. </dd></dl>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_stochastic_process.html#cb2c915740d2c20c6ee1f5c27b05caef">StochasticProcess</a>.</p>
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