- QuantLib
- StochasticProcess1D
1-dimensional stochastic process More...
#include <ql/stochasticprocess.hpp>

Classes | |
| class | discretization |
| discretization of a 1-D stochastic process More... | |
Public Member Functions | |
1-D stochastic process interface | |
| 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. | |
| virtual Real | diffusion (Time t, Real x) const =0 |
returns the diffusion part of the equation, i.e. | |
| 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 |
Protected Member Functions | |
| StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
Protected Attributes | |
| boost::shared_ptr< discretization > | discretization_ |
1-dimensional stochastic process
This class describes a stochastic process governed by
| virtual Real expectation | ( | Time | t0, |
| Real | x0, | ||
| Time | dt | ||
| ) | const [virtual] |
returns the expectation
of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in HullWhiteForwardProcess, GeneralizedBlackScholesProcess, ExtendedOrnsteinUhlenbeckProcess, GeneralizedOrnsteinUhlenbeckProcess, OrnsteinUhlenbeckProcess, and HullWhiteProcess.
| virtual Real stdDeviation | ( | Time | t0, |
| Real | x0, | ||
| Time | dt | ||
| ) | const [virtual] |
returns the standard deviation
of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in HullWhiteForwardProcess, ExtendedOrnsteinUhlenbeckProcess, GemanRoncoroniProcess, GeneralizedOrnsteinUhlenbeckProcess, OrnsteinUhlenbeckProcess, and HullWhiteProcess.
returns the variance
of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in HullWhiteForwardProcess, OrnsteinUhlenbeckProcess, ExtendedOrnsteinUhlenbeckProcess, GeneralizedOrnsteinUhlenbeckProcess, and HullWhiteProcess.
returns the asset value after a time interval
according to the given discretization. By default, it returns
where
is the expectation and
the standard deviation.
Reimplemented in GeneralizedBlackScholesProcess, GemanRoncoroniProcess, and ExtendedBlackScholesMertonProcess.
applies a change to the asset value. By default, it returns
.
Reimplemented in GeneralizedBlackScholesProcess, and Merton76Process.