Public Member Functions | Protected Attributes | List of all members
StochasticProcessArray Class Reference
Stochastic processes

Array of correlated 1-D stochastic processes More...

#include <ql/processes/stochasticprocessarray.hpp>

Inheritance diagram for StochasticProcessArray:
Inheritance graph
[legend]

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., $ \mu(t, \mathrm{x}_t) $
 
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. $ \sigma(t, \mathrm{x}_t) $
 
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
 
- Public Member Functions inherited from StochasticProcess
virtual Size factors () const
 returns the number of independent factors of the process
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observer & operator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 		registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observable & operator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

std::vector< boost::shared_ptr
< StochasticProcess1D > > 		processes_
 
Matrix sqrtCorrelation_
 
- Protected Attributes inherited from StochasticProcess
boost::shared_ptr< discretization > discretization_
 

Additional Inherited Members

- Protected Member Functions inherited from StochasticProcess
 StochasticProcess (const boost::shared_ptr< discretization > &)
 

Detailed Description

Array of correlated 1-D stochastic processes

Member Function Documentation

Disposable<Array> expectation ( Time  t0,
const Array &  x0,
Time  dt 
) const
virtual

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.

Reimplemented from StochasticProcess.

Disposable<Matrix> covariance ( Time  t0,
const Array &  x0,
Time  dt 
) const
virtual

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.

Reimplemented from StochasticProcess.

Disposable<Matrix> stdDeviation ( Time  t0,
const Array &  x0,
Time  dt 
) const
virtual

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.

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 $ \mathrm{x} + \Delta \mathrm{x} $.

Reimplemented from StochasticProcess.

Disposable<Array> evolve ( Time  t0,
const Array &  x0,
Time  dt,
const Array &  dw 
) const
virtual

returns the asset value after a time interval $ \Delta t $ according to the given discretization. By default, it returns

\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]

where $ E $ is the expectation and $ S $ the standard deviation.

Reimplemented from StochasticProcess.

Time time ( const Date &  ) const
virtual

returns the time value corresponding to the given date in the reference system of the stochastic process.

Note
As a number of processes might not need this functionality, a default implementation is given which raises an exception.

Reimplemented from StochasticProcess.

Documentation generated by Doxygen 1.8.3