GsrProcess Class Reference

GSR stochastic process. More...

#include <ql/processes/gsrprocess.hpp>

Inheritance diagram for GsrProcess:

Public Member Functions
	GsrProcess (const Array &times, const Array &vols, const Array &reversions, Real T=60.0, const Date &referenceDate=Date(), DayCounter dc=DayCounter())
StochasticProcess1D interface
Real	x0 () const override
	returns the initial value of the state variable
Real	drift (Time t, Real x) const override
	returns the drift part of the equation, i.e. \( \mu(t, x_t) \)
Real	diffusion (Time t, Real) const override
	returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
Real	expectation (Time t0, Real x0, Time dt) const override
Real	stdDeviation (Time t0, Real x0, Time dt) const override
Real	variance (Time t0, Real, Time dt) const override
Real	time (const Date &d) const override
Public Member Functions inherited from ForwardMeasureProcess1D
Time	getForwardMeasureTime () 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
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 ()

ForwardMeasureProcess1D interface
void	setForwardMeasureTime (Time t) override
Real	sigma (Time t) const
	additional inspectors
Real	reversion (Time t) const
Real	y (Time t) const
Real	G (Time t, Time T, Real x) const
void	flushCache () const
	reset cache

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from ForwardMeasureProcess1D
	ForwardMeasureProcess1D (Time T)
	ForwardMeasureProcess1D (const ext::shared_ptr< discretization > &)
	StochasticProcess1D (ext::shared_ptr< discretization >)
	StochasticProcess (ext::shared_ptr< discretization >)
Protected Attributes inherited from ForwardMeasureProcess1D
Time	T_
ext::shared_ptr< discretization >	discretization_
ext::shared_ptr< discretization >	discretization_

Detailed Description

GSR stochastic process.

Member Function Documentation

x0()

Real x0 ( ) const

overridevirtual

returns the initial value of the state variable

Implements StochasticProcess1D.

drift()

Real drift ( Time t, Real x ) const

overridevirtual

returns the drift part of the equation, i.e. \( \mu(t, x_t) \)

Implements StochasticProcess1D.

diffusion()

Real diffusion ( Time t, Real x ) const

overridevirtual

returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)

Implements StochasticProcess1D.

expectation()

Real expectation ( Time t0, Real x0, Time dt ) const

overridevirtual

returns the expectation \( E(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.

stdDeviation()

Real stdDeviation ( Time t0, Real x0, Time dt ) const

overridevirtual

returns the standard deviation \( S(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.

variance()

Real variance ( Time t0, Real x0, Time dt ) const

overridevirtual

returns the variance \( V(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) 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 StochasticProcess1D.

time()

Real time ( const Date & ) const

overridevirtual

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.

setForwardMeasureTime()

void setForwardMeasureTime ( Time t )

overridevirtual

Reimplemented from ForwardMeasureProcess1D.