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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Banca Profilo S.p.A.
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file forwardmeasureprocess.hpp
\brief forward-measure stochastic processes
*/
#ifndef quantlib_forward_measure_processes_hpp
#define quantlib_forward_measure_processes_hpp
#include <ql/stochasticprocess.hpp>
namespace QuantLib {
//! forward-measure stochastic process
/*! stochastic process whose dynamics are expressed in the forward
measure.
\ingroup processes
*/
class ForwardMeasureProcess : public StochasticProcess {
public:
virtual void setForwardMeasureTime(Time);
Time getForwardMeasureTime() const;
protected:
ForwardMeasureProcess() {}
explicit ForwardMeasureProcess(Time T) : T_(T) {}
explicit ForwardMeasureProcess(
const ext::shared_ptr<discretization>&);
Time T_;
};
//! forward-measure 1-D stochastic process
/*! 1-D stochastic process whose dynamics are expressed in the
forward measure.
\ingroup processes
*/
class ForwardMeasureProcess1D : public StochasticProcess1D {
public:
virtual void setForwardMeasureTime(Time);
Time getForwardMeasureTime() const;
protected:
ForwardMeasureProcess1D() {}
explicit ForwardMeasureProcess1D(Time T) : T_(T) {}
explicit ForwardMeasureProcess1D(
const ext::shared_ptr<discretization>&);
Time T_;
};
}
#endif
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