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 Member Functions

 HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Discretization discretization=BSMHullWhite)
 
Size size () const
 returns the number of dimensions of the stochastic process
 
Disposable< ArrayinitialValues () const
 returns the initial values of the state variables
 
Disposable< Arraydrift (Time t, const Array &x) const
 returns the drift part of the equation, i.e., $ \mu(t, \mathrm{x}_t) $
 
Disposable< Matrixdiffusion (Time t, const Array &x) const
 returns the diffusion part of the equation, i.e. $ \sigma(t, \mathrm{x}_t) $
 
Disposable< Arrayapply (const Array &x0, const Array &dx) const
 
Disposable< Arrayevolve (Time t0, const Array &x0, Time dt, const Array &dw) const
 
DiscountFactor numeraire (Time t, const Array &x) const
 
const boost::shared_ptr
< HestonProcess > & 
hestonProcess () const
 
const boost::shared_ptr
< HullWhiteForwardProcess > & 
hullWhiteProcess () const
 
Real eta () const
 
Time time (const Date &date) const
 
Discretization discretization () const
 
void update ()
 
- Public Member Functions inherited from StochasticProcess
virtual Size factors () const
 returns the number of independent factors of the process
 
virtual Disposable< Arrayexpectation (Time t0, const Array &x0, Time dt) const
 
virtual Disposable< MatrixstdDeviation (Time t0, const Array &x0, Time dt) const
 
virtual Disposable< Matrixcovariance (Time t0, const Array &x0, Time dt) const
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

const boost::shared_ptr
< HestonProcess
hestonProcess_
 
const boost::shared_ptr
< HullWhiteForwardProcess
hullWhiteProcess_
 
const boost::shared_ptr
< HullWhite
hullWhiteModel_
 
const Real corrEquityShortRate_
 
const Discretization discretization_
 
const Real maxRho_
 
const Time T_
 
DiscountFactor endDiscount_
 
- Protected Attributes inherited from StochasticProcess
boost::shared_ptr< discretizationdiscretization_
 

Additional Inherited Members

- Protected Member Functions inherited from StochasticProcess
 StochasticProcess (const boost::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

Disposable<Array> apply ( const Array x0,
const Array dx 
) const
virtual

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

Reimplemented from StochasticProcess.

Disposable<Array> evolve ( Time  t0,
const Array x0,
Time  dt,
const Array dw 
) const
virtual

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 ( const Date ) const
virtual

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.