- QuantLib
- G2ForwardProcess
 
Forward G2 stochastic process More...
#include <ql/processes/g2process.hpp>

| Public Member Functions | |
| G2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) | |
| StochasticProcess interface | |
| Size | size () const | 
| returns the number of dimensions of the stochastic process | |
| Disposable< Array > | initialValues () const | 
| returns the initial values of the state variables | |
| Disposable< Array > | drift (Time t, const Array &x) const | 
| returns the drift part of the equation, i.e.,   | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const | 
| returns the diffusion part of the equation, i.e.   | |
| Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const | 
| Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const | 
| Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const | 
| Protected Member Functions | |
| Real | xForwardDrift (Time t, Time T) const | 
| Real | yForwardDrift (Time t, Time T) const | 
| Real | Mx_T (Real s, Real t, Real T) const | 
| Real | My_T (Real s, Real t, Real T) const | 
| Protected Attributes | |
| Real | x0_ | 
| Real | y0_ | 
| Real | a_ | 
| Real | sigma_ | 
| Real | b_ | 
| Real | eta_ | 
| Real | rho_ | 
| boost::shared_ptr < QuantLib::OrnsteinUhlenbeckProcess > | xProcess_ | 
| boost::shared_ptr < QuantLib::OrnsteinUhlenbeckProcess > | yProcess_ | 
Forward G2 stochastic process
| Disposable<Array> expectation | ( | Time | t0, | 
| const Array & | 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 StochasticProcess.
| Disposable<Matrix> stdDeviation | ( | Time | t0, | 
| const Array & | 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 StochasticProcess.
| Disposable<Matrix> covariance | ( | Time | t0, | 
| const Array & | x0, | ||
| Time | dt | ||
| ) | const  [virtual] | 
returns the covariance  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 StochasticProcess.