forward-measure stochastic process More...
#include <ql/processes/forwardmeasureprocess.hpp>
Public Member Functions | |
void | setForwardMeasureTime (Time) |
Time | getForwardMeasureTime () const |
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virtual Size | size () const =0 |
returns the number of dimensions of the stochastic process | |
virtual Size | factors () const |
returns the number of independent factors of the process | |
virtual Disposable< Array > | initialValues () const =0 |
returns the initial values of the state variables | |
virtual Disposable< Array > | drift (Time t, const Array &x) const =0 |
returns the drift part of the equation, i.e., ![]() | |
virtual Disposable< Matrix > | diffusion (Time t, const Array &x) const =0 |
returns the diffusion part of the equation, i.e. ![]() | |
virtual Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
virtual Disposable< Array > | apply (const Array &x0, const Array &dx) const |
virtual Time | time (const Date &) const |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (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 () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
ForwardMeasureProcess (Time T) | |
ForwardMeasureProcess (const boost::shared_ptr< discretization > &) | |
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StochasticProcess (const boost::shared_ptr< discretization > &) | |
Protected Attributes | |
Time | T_ |
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boost::shared_ptr< discretization > | discretization_ |
forward-measure stochastic process
stochastic process whose dynamics are expressed in the forward measure.