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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a></li> </ul>
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<div class="title">StochasticProcess Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<p>multi-dimensional stochastic process class.
<a href="class_quant_lib_1_1_stochastic_process.html#details">More...</a></p>
<p><code>#include <ql/stochasticprocess.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for StochasticProcess:</div>
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<table class="memberdecls">
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Classes</h2></td></tr>
<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">discretization of a stochastic process over a given time interval <a href="class_quant_lib_1_1_stochastic_process_1_1discretization.html#details">More...</a><br /></td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Stochastic process interface</div></td></tr>
<tr class="memitem:a154fc82502dc7257b459b1f13e2bc6b6"><td class="memItemLeft" align="right" valign="top"><a id="a154fc82502dc7257b459b1f13e2bc6b6"></a>
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#a154fc82502dc7257b459b1f13e2bc6b6">size</a> () const =0</td></tr>
<tr class="memdesc:a154fc82502dc7257b459b1f13e2bc6b6"><td class="mdescLeft"> </td><td class="mdescRight">returns the number of dimensions of the stochastic process <br /></td></tr>
<tr class="separator:a154fc82502dc7257b459b1f13e2bc6b6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a33d9dda89ba7db93ae8b7d8c64122597"><td class="memItemLeft" align="right" valign="top"><a id="a33d9dda89ba7db93ae8b7d8c64122597"></a>
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#a33d9dda89ba7db93ae8b7d8c64122597">factors</a> () const</td></tr>
<tr class="memdesc:a33d9dda89ba7db93ae8b7d8c64122597"><td class="mdescLeft"> </td><td class="mdescRight">returns the number of independent factors of the process <br /></td></tr>
<tr class="separator:a33d9dda89ba7db93ae8b7d8c64122597"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a23d85d7308543378898341eb84a6b258"><td class="memItemLeft" align="right" valign="top"><a id="a23d85d7308543378898341eb84a6b258"></a>
virtual <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.html#a23d85d7308543378898341eb84a6b258">initialValues</a> () const =0</td></tr>
<tr class="memdesc:a23d85d7308543378898341eb84a6b258"><td class="mdescLeft"> </td><td class="mdescRight">returns the initial values of the state variables <br /></td></tr>
<tr class="separator:a23d85d7308543378898341eb84a6b258"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:add74d4d9a1354fee6d3df7662b14e7e1"><td class="memItemLeft" align="right" valign="top"><a id="add74d4d9a1354fee6d3df7662b14e7e1"></a>
virtual <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.html#add74d4d9a1354fee6d3df7662b14e7e1">drift</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x) const =0</td></tr>
<tr class="memdesc:add74d4d9a1354fee6d3df7662b14e7e1"><td class="mdescLeft"> </td><td class="mdescRight">returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) <br /></td></tr>
<tr class="separator:add74d4d9a1354fee6d3df7662b14e7e1"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8562aad455e247b42d47aab2b18f205a"><td class="memItemLeft" align="right" valign="top"><a id="a8562aad455e247b42d47aab2b18f205a"></a>
virtual <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.html#a8562aad455e247b42d47aab2b18f205a">diffusion</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x) const =0</td></tr>
<tr class="memdesc:a8562aad455e247b42d47aab2b18f205a"><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) <br /></td></tr>
<tr class="separator:a8562aad455e247b42d47aab2b18f205a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5ff82c7ea229ea678252bca22f1ee455"><td class="memItemLeft" align="right" valign="top">virtual <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.html#a5ff82c7ea229ea678252bca22f1ee455">expectation</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:a5ff82c7ea229ea678252bca22f1ee455"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1d143e05259160f677407c6cb3b7d8b4"><td class="memItemLeft" align="right" valign="top">virtual <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.html#a1d143e05259160f677407c6cb3b7d8b4">stdDeviation</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:a1d143e05259160f677407c6cb3b7d8b4"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7d7d88e8f05305804aed59a6521f8a36"><td class="memItemLeft" align="right" valign="top">virtual <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.html#a7d7d88e8f05305804aed59a6521f8a36">covariance</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:a7d7d88e8f05305804aed59a6521f8a36"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a37b5aebef2d35194c059d21a9a793b9c"><td class="memItemLeft" align="right" valign="top">virtual <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.html#a37b5aebef2d35194c059d21a9a793b9c">evolve</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &dw) const</td></tr>
<tr class="separator:a37b5aebef2d35194c059d21a9a793b9c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2f8f5deb5ff248f45bb56c4054f000ec"><td class="memItemLeft" align="right" valign="top">virtual <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.html#a2f8f5deb5ff248f45bb56c4054f000ec">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>
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<tr><td colspan="2"><div class="groupHeader">utilities</div></td></tr>
<tr class="memitem:a077542ff55ad755add55e8e5e8172cca"><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#a077542ff55ad755add55e8e5e8172cca">time</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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Observer interface</h2></td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > </td><td class="memItemRight" valign="bottom"><b>discretization_</b></td></tr>
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<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess</b> ()</td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > &)</td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
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typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>multi-dimensional stochastic process class. </p>
<p>This class describes a stochastic process governed by </p><p class="formulaDsp">
\[ d\mathrm{x}_t = \mu(t, x_t)\mathrm{d}t + \sigma(t, \mathrm{x}_t) \cdot d\mathrm{W}_t. \]
</p>
</div><h2 class="groupheader">Member Function Documentation</h2>
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<h2 class="memtitle"><span class="permalink"><a href="#a5ff82c7ea229ea678252bca22f1ee455">◆ </a></span>expectation()</h2>
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<td class="memname">virtual <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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </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="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
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<p>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. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#a51943d498d07fcfacfd0290f810c5b36">StochasticProcessArray</a>, <a class="el" href="class_quant_lib_1_1_g2_forward_process.html#a51943d498d07fcfacfd0290f810c5b36">G2ForwardProcess</a>, and <a class="el" href="class_quant_lib_1_1_g2_process.html#a51943d498d07fcfacfd0290f810c5b36">G2Process</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a1d143e05259160f677407c6cb3b7d8b4">◆ </a></span>stdDeviation()</h2>
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<td class="memname">virtual <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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
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<p>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. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#a20608f1018c118acbc8b4a6419cef517">StochasticProcessArray</a>, <a class="el" href="class_quant_lib_1_1_g2_forward_process.html#a20608f1018c118acbc8b4a6419cef517">G2ForwardProcess</a>, and <a class="el" href="class_quant_lib_1_1_g2_process.html#a20608f1018c118acbc8b4a6419cef517">G2Process</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a7d7d88e8f05305804aed59a6521f8a36">◆ </a></span>covariance()</h2>
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<td class="memname">virtual <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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
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<p>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. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#a86fdc03d99e5766f1e0908205b80148a">StochasticProcessArray</a>, <a class="el" href="class_quant_lib_1_1_g2_forward_process.html#a86fdc03d99e5766f1e0908205b80148a">G2ForwardProcess</a>, <a class="el" href="class_quant_lib_1_1_g2_process.html#a86fdc03d99e5766f1e0908205b80148a">G2Process</a>, and <a class="el" href="class_quant_lib_1_1_libor_forward_model_process.html#a86fdc03d99e5766f1e0908205b80148a">LiborForwardModelProcess</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a37b5aebef2d35194c059d21a9a793b9c">◆ </a></span>evolve()</h2>
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<td class="memname">virtual <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>
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<p>returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns </p><p class="formulaDsp">
\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]
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<p> where \( E \) is the expectation and \( S \) the standard deviation. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#af32a2b7d3aa8ec2addf422ed1b15a525">StochasticProcessArray</a>, <a class="el" href="class_quant_lib_1_1_hybrid_heston_hull_white_process.html#af32a2b7d3aa8ec2addf422ed1b15a525">HybridHestonHullWhiteProcess</a>, <a class="el" href="class_quant_lib_1_1_heston_process.html#af32a2b7d3aa8ec2addf422ed1b15a525">HestonProcess</a>, <a class="el" href="class_quant_lib_1_1_g_j_r_g_a_r_c_h_process.html#af32a2b7d3aa8ec2addf422ed1b15a525">GJRGARCHProcess</a>, <a class="el" href="class_quant_lib_1_1_bates_process.html#af32a2b7d3aa8ec2addf422ed1b15a525">BatesProcess</a>, <a class="el" href="class_quant_lib_1_1_libor_forward_model_process.html#af32a2b7d3aa8ec2addf422ed1b15a525">LiborForwardModelProcess</a>, <a class="el" href="class_quant_lib_1_1_kluge_ext_o_u_process.html#af32a2b7d3aa8ec2addf422ed1b15a525">KlugeExtOUProcess</a>, and <a class="el" href="class_quant_lib_1_1_ext_o_u_with_jumps_process.html#af32a2b7d3aa8ec2addf422ed1b15a525">ExtOUWithJumpsProcess</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a2f8f5deb5ff248f45bb56c4054f000ec">◆ </a></span>apply()</h2>
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<td class="memname">virtual <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>
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<p>applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \). </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#ad16a97eee0ebc79cbf0c11c69d46b490">StochasticProcessArray</a>, <a class="el" href="class_quant_lib_1_1_hybrid_heston_hull_white_process.html#ad16a97eee0ebc79cbf0c11c69d46b490">HybridHestonHullWhiteProcess</a>, <a class="el" href="class_quant_lib_1_1_heston_process.html#ad16a97eee0ebc79cbf0c11c69d46b490">HestonProcess</a>, <a class="el" href="class_quant_lib_1_1_g_j_r_g_a_r_c_h_process.html#ad16a97eee0ebc79cbf0c11c69d46b490">GJRGARCHProcess</a>, and <a class="el" href="class_quant_lib_1_1_libor_forward_model_process.html#ad16a97eee0ebc79cbf0c11c69d46b490">LiborForwardModelProcess</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a077542ff55ad755add55e8e5e8172cca">◆ </a></span>time()</h2>
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<td class="memname">virtual <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time </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="section note"><dt>Note</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 in <a class="el" href="class_quant_lib_1_1_hybrid_heston_hull_white_process.html#ace68932e4777e1d7e93035883dd77488">HybridHestonHullWhiteProcess</a>, <a class="el" href="class_quant_lib_1_1_gsr_process.html#a9616e98344f1aaf32238783d4d9a1e8e">GsrProcess</a>, <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html#ab2e3e42e764f5a50686da1cb9ea153be">StochasticProcessArray</a>, <a class="el" href="class_quant_lib_1_1_merton76_process.html#ab2e3e42e764f5a50686da1cb9ea153be">Merton76Process</a>, <a class="el" href="class_quant_lib_1_1_heston_process.html#ab2e3e42e764f5a50686da1cb9ea153be">HestonProcess</a>, <a class="el" href="class_quant_lib_1_1_g_j_r_g_a_r_c_h_process.html#ab2e3e42e764f5a50686da1cb9ea153be">GJRGARCHProcess</a>, and <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ab2e3e42e764f5a50686da1cb9ea153be">GeneralizedBlackScholesProcess</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#ac5c54df7ed3b930268c8d7752c101725">◆ </a></span>update()</h2>
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<td class="memname">void update </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>
<p>Implements <a class="el" href="class_quant_lib_1_1_observer.html#a99b02345a8a15d3c5ea2844a2253f510">Observer</a>.</p>
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