ForwardMeasureProcess Class Reference

forward-measure stochastic process More...

#include <ql/processes/forwardmeasureprocess.hpp>

Inheritance diagram for ForwardMeasureProcess:

Public Member Functions
virtual void	setForwardMeasureTime (Time)
Time	getForwardMeasureTime () const
Public Member Functions inherited from StochasticProcess
virtual Size	size () const =0
	returns the number of dimensions of the stochastic process
virtual Size	factors () const
	returns the number of independent factors of the process
virtual Array	initialValues () const =0
	returns the initial values of the state variables
virtual Array	drift (Time t, const Array &x) const =0
	returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
virtual Matrix	diffusion (Time t, const Array &x) const =0
	returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
virtual Array	expectation (Time t0, const Array &x0, Time dt) const
virtual Matrix	stdDeviation (Time t0, const Array &x0, Time dt) const
virtual Matrix	covariance (Time t0, const Array &x0, Time dt) const
virtual Array	evolve (Time t0, const Array &x0, Time dt, const Array &dw) const
virtual Array	apply (const Array &x0, const Array &dx) const
virtual Time	time (const Date &) const
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Protected Member Functions
	ForwardMeasureProcess (Time T)
	ForwardMeasureProcess (const ext::shared_ptr< discretization > &)
	StochasticProcess (ext::shared_ptr< discretization >)

Protected Attributes
Time	T_
ext::shared_ptr< discretization >	discretization_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

forward-measure stochastic process

stochastic process whose dynamics are expressed in the forward measure.