- QuantLib
- StochasticProcessArray
Array of correlated 1-D stochastic processes More...
#include <ql/processes/stochasticprocessarray.hpp>
Public Member Functions | |
StochasticProcessArray (const std::vector< boost::shared_ptr< StochasticProcess1D > > &, const Matrix &correlation) | |
Size | size () const |
returns the number of dimensions of the stochastic process | |
Disposable< Array > | initialValues () const |
returns the initial values of the state variables | |
Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., ![]() | |
Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. ![]() | |
Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
Disposable< Array > | apply (const Array &x0, const Array &dx) const |
Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
Time | time (const Date &) const |
const boost::shared_ptr < StochasticProcess1D > & | process (Size i) const |
Disposable< Matrix > | correlation () const |
Protected Attributes | |
std::vector< boost::shared_ptr < StochasticProcess1D > > | processes_ |
Matrix | sqrtCorrelation_ |
Array of correlated 1-D stochastic processes
Disposable<Array> expectation | ( | Time | t0, |
const Array & | x0, | ||
Time | dt | ||
) | const [virtual] |
returns the expectation of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess.
Disposable<Matrix> covariance | ( | Time | t0, |
const Array & | x0, | ||
Time | dt | ||
) | const [virtual] |
returns the covariance of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess.
Disposable<Matrix> stdDeviation | ( | Time | t0, |
const Array & | x0, | ||
Time | dt | ||
) | const [virtual] |
returns the standard deviation of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess.
Disposable<Array> apply | ( | const Array & | x0, |
const Array & | dx | ||
) | const [virtual] |
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess.
returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and
the standard deviation.
Reimplemented from StochasticProcess.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.