Piecewise linear Ornstein-Uhlenbeck process class. More...
#include <ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp>
Inheritance diagram for GeneralizedOrnsteinUhlenbeckProcess:Public Member Functions | |
| GeneralizedOrnsteinUhlenbeckProcess (const boost::function< Real(Time)> &speed, const boost::function< Real(Time)> &vol, Real x0=0.0, Real level=0.0) | |
| Real | speed (Time t) const |
| Real | volatility (Time t) const |
| Real | level () const |
StochasticProcess1D interface | |
| Real | x0 () const |
| returns the initial value of the state variable | |
| Real | drift (Time t, Real x) const |
| returns the drift part of the equation, i.e. \( \mu(t, x_t) \) | |
| Real | diffusion (Time t, Real x) const |
| returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) | |
| Real | expectation (Time t0, Real x0, Time dt) const |
| Real | stdDeviation (Time t0, Real x0, Time dt) const |
| Real | variance (Time t0, Real x0, Time dt) const |
Public Member Functions inherited from StochasticProcess1D | |
| 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 () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
Protected Member Functions inherited from StochasticProcess1D | |
| StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess (const boost::shared_ptr< discretization > &) | |
Protected Attributes inherited from StochasticProcess1D | |
| boost::shared_ptr< discretization > | discretization_ |
Protected Attributes inherited from StochasticProcess | |
| boost::shared_ptr< discretization > | discretization_ |
Piecewise linear Ornstein-Uhlenbeck process class.
This class describes the Ornstein-Uhlenbeck process governed by
\[ dx = a (level - x_t) dt + \sigma dW_t \]
where the coefficients a and sigma are piecewise linear.
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.
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.
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.