- QuantLib
- HybridHestonHullWhiteProcess
Hybrid Heston Hull-White stochastic process. More...
#include <ql/processes/hybridhestonhullwhiteprocess.hpp>
Public Types | |
enum | Discretization { Euler, BSMHullWhite } |
Public Member Functions | |
HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Discretization discretization=BSMHullWhite) | |
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< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. ![]() | |
Disposable< Array > | apply (const Array &x0, const Array &dx) const |
Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
DiscountFactor | numeraire (Time t, const Array &x) const |
const boost::shared_ptr < HestonProcess > & | hestonProcess () const |
const boost::shared_ptr < HullWhiteForwardProcess > & | hullWhiteProcess () const |
Real | eta () const |
Time | time (const Date &date) const |
Discretization | discretization () const |
void | update () |
Protected Attributes | |
const boost::shared_ptr < HestonProcess > | hestonProcess_ |
const boost::shared_ptr < HullWhiteForwardProcess > | hullWhiteProcess_ |
const boost::shared_ptr < HullWhite > | hullWhiteModel_ |
const Real | corrEquityShortRate_ |
const Discretization | discretization_ |
const Real | maxRho_ |
const Time | T_ |
DiscountFactor | endDiscount_ |
Hybrid Heston Hull-White stochastic process.
This class implements a three factor Heston Hull-White model
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.
void update | ( | ) | [virtual] |
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.
Reimplemented from StochasticProcess.