- QuantLib
- HullWhiteProcess
 
Hull-White stochastic process. More...
#include <ql/processes/hullwhiteprocess.hpp>

| Public Member Functions | |
| HullWhiteProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma) | |
| 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.   | |
| Real | diffusion (Time t, Real x) const | 
| returns the diffusion part of the equation, i.e.   | |
| 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 | 
| Real | a () const | 
| Real | sigma () const | 
| Real | alpha (Time t) const | 
| Protected Attributes | |
| boost::shared_ptr < QuantLib::OrnsteinUhlenbeckProcess > | process_ | 
| Handle< YieldTermStructure > | h_ | 
| Real | a_ | 
| Real | sigma_ | 
Hull-White stochastic process.
| Real expectation | ( | Time | t0, | 
| Real | x0, | ||
| Time | dt | ||
| ) | const  [virtual] | 
returns the expectation  of the process after a time interval
 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.
 according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. 
Reimplemented from StochasticProcess1D.
| Real stdDeviation | ( | Time | t0, | 
| Real | x0, | ||
| Time | dt | ||
| ) | const  [virtual] | 
returns the standard deviation  of the process after a time interval
 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.
 according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. 
Reimplemented from StochasticProcess1D.