ForwardMeasureProcess1D Class Reference

forward-measure 1-D stochastic process More...

#include <ql/processes/forwardmeasureprocess.hpp>

Inheritance diagram for ForwardMeasureProcess1D:

Public Member Functions
virtual void	setForwardMeasureTime (Time)
Time	getForwardMeasureTime () const
virtual Real	x0 () const =0
	returns the initial value of the state variable
virtual Real	drift (Time t, Real x) const =0
	returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
virtual Real	diffusion (Time t, Real x) const =0
	returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
virtual Real	expectation (Time t0, Real x0, Time dt) const
virtual Real	stdDeviation (Time t0, Real x0, Time dt) const
virtual Real	variance (Time t0, Real x0, Time dt) const
virtual Real	evolve (Time t0, Real x0, Time dt, Real dw) const
virtual Real	apply (Real x0, Real dx) const
Public Member Functions inherited from StochasticProcess
virtual Size	factors () const
	returns the number of independent factors of the process
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
	ForwardMeasureProcess1D (Time T)
	ForwardMeasureProcess1D (const ext::shared_ptr< discretization > &)
	StochasticProcess1D (ext::shared_ptr< discretization >)
	StochasticProcess (ext::shared_ptr< discretization >)

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

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

Detailed Description

forward-measure 1-D stochastic process

1-D stochastic process whose dynamics are expressed in the forward measure.