HybridHestonHullWhiteProcess Class Reference

Hybrid Heston Hull-White stochastic process. More...

#include <ql/processes/hybridhestonhullwhiteprocess.hpp>

Inheritance diagram for HybridHestonHullWhiteProcess:

Public Types
enum	Discretization { Euler , BSMHullWhite }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	HybridHestonHullWhiteProcess (const ext::shared_ptr< HestonProcess > &hestonProcess, const ext::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Discretization discretization=BSMHullWhite)
Size	size () const override
	returns the number of dimensions of the stochastic process
Array	initialValues () const override
	returns the initial values of the state variables
Array	drift (Time t, const Array &x) const override
	returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
Matrix	diffusion (Time t, const Array &x) const override
	returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
Array	apply (const Array &x0, const Array &dx) const override
Array	evolve (Time t0, const Array &x0, Time dt, const Array &dw) const override
DiscountFactor	numeraire (Time t, const Array &x) const
const ext::shared_ptr< HestonProcess > &	hestonProcess () const
const ext::shared_ptr< HullWhiteForwardProcess > &	hullWhiteProcess () const
Real	eta () const
Time	time (const Date &date) const override
Discretization	discretization () const
void	update () override
Public Member Functions inherited from StochasticProcess
virtual Size	factors () const
	returns the number of independent factors of the process
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
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 Attributes
const ext::shared_ptr< HestonProcess >	hestonProcess_
const ext::shared_ptr< HullWhiteForwardProcess >	hullWhiteProcess_
const ext::shared_ptr< HullWhite >	hullWhiteModel_
const Real	corrEquityShortRate_
const Discretization	discretization_
const Real	maxRho_
const Time	T_
DiscountFactor	endDiscount_
ext::shared_ptr< discretization >	discretization_

Additional Inherited Members
	StochasticProcess (ext::shared_ptr< discretization >)

Detailed Description

Hybrid Heston Hull-White stochastic process.

This class implements a three factor Heston Hull-White model

Bug

This class was not tested enough to guarantee its functionality... work in progress

Member Function Documentation

size()

Size size ( ) const

overridevirtual

returns the number of dimensions of the stochastic process

Implements StochasticProcess.

initialValues()

Array initialValues ( ) const

overridevirtual

returns the initial values of the state variables

Implements StochasticProcess.

drift()

Array drift ( Time t, const Array & x ) const

overridevirtual

returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)

Implements StochasticProcess.

diffusion()

Matrix diffusion ( Time t, const Array & x ) const

overridevirtual

returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)

Implements StochasticProcess.

apply()

Array apply ( const Array & x0, const Array & dx ) const

overridevirtual

applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \).

Reimplemented from StochasticProcess.

evolve()

Array evolve ( Time t0, const Array & x0, Time dt, const Array & dw ) const

overridevirtual

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 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.

update()

void update ( )

overridevirtual

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.

Implements Observer.