Array of correlated 1-D stochastic processes More...
#include <stochasticprocessarray.hpp>
Inheritance diagram for StochasticProcessArray:
Collaboration diagram for StochasticProcessArray:
Public Member Functions | |
| StochasticProcessArray (const std::vector< ext::shared_ptr< StochasticProcess1D > > &, const Matrix &correlation) | |
| Size | size () const override |
| returns the number of dimensions of the stochastic process More... | |
| Array | initialValues () const override |
| returns the initial values of the state variables More... | |
| Array | drift (Time t, const Array &x) const override |
| returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) More... | |
| Array | expectation (Time t0, const Array &x0, Time dt) const override |
| Matrix | diffusion (Time t, const Array &x) const override |
| returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) More... | |
| Matrix | covariance (Time t0, const Array &x0, Time dt) const override |
| Matrix | stdDeviation (Time t0, const Array &x0, Time dt) const override |
| Array | apply (const Array &x0, const Array &dx) const override |
| Array | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const override |
| Time | time (const Date &) const override |
| const ext::shared_ptr< StochasticProcess1D > & | process (Size i) const |
| Matrix | correlation () const |
| Public Member Functions inherited from StochasticProcess | |
| ~StochasticProcess () override=default | |
| virtual Size | factors () const |
| returns the number of independent factors of the process More... | |
| void | update () override |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~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 | update ()=0 |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
Protected Attributes | |
| std::vector< ext::shared_ptr< StochasticProcess1D > > | processes_ |
| Matrix | sqrtCorrelation_ |
| Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess ()=default | |
| StochasticProcess (ext::shared_ptr< discretization >) | |
Detailed Description
Array of correlated 1-D stochastic processes
Definition at line 35 of file stochasticprocessarray.hpp.
Constructor & Destructor Documentation
◆ StochasticProcessArray()
| StochasticProcessArray | ( | const std::vector< ext::shared_ptr< StochasticProcess1D > > & | processes, |
| const Matrix & | correlation | ||
| ) |
Member Function Documentation
◆ size()
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overridevirtual |
returns the number of dimensions of the stochastic process
Implements StochasticProcess.
Definition at line 42 of file stochasticprocessarray.cpp.
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◆ initialValues()
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overridevirtual |
returns the initial values of the state variables
Implements StochasticProcess.
Definition at line 46 of file stochasticprocessarray.cpp.
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◆ drift()
returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
Implements StochasticProcess.
Definition at line 53 of file stochasticprocessarray.cpp.
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◆ expectation()
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.
Definition at line 73 of file stochasticprocessarray.cpp.
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◆ diffusion()
returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
Implements StochasticProcess.
Definition at line 61 of file stochasticprocessarray.cpp.
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◆ covariance()
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.
Definition at line 95 of file stochasticprocessarray.cpp.
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◆ stdDeviation()
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.
Definition at line 82 of file stochasticprocessarray.cpp.
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◆ apply()
applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \).
Reimplemented from StochasticProcess.
Definition at line 112 of file stochasticprocessarray.cpp.
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◆ evolve()
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.
Definition at line 102 of file stochasticprocessarray.cpp.
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◆ time()
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.
Definition at line 120 of file stochasticprocessarray.cpp.
◆ process()
| const ext::shared_ptr< StochasticProcess1D > & process | ( | Size | i | ) | const |
Definition at line 125 of file stochasticprocessarray.cpp.
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◆ correlation()
| Matrix correlation | ( | ) | const |
Definition at line 129 of file stochasticprocessarray.cpp.
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Member Data Documentation
◆ processes_
|
protected |
Definition at line 58 of file stochasticprocessarray.hpp.
◆ sqrtCorrelation_
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protected |
Definition at line 59 of file stochasticprocessarray.hpp.