- QuantLib
- ExtendedOrnsteinUhlenbeckProcess
 
Extended Ornstein-Uhlenbeck process class. More...
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>

| Public Types | |
| enum | Discretization { MidPoint, Trapezodial, GaussLobatto } | 
| Public Member Functions | |
| ExtendedOrnsteinUhlenbeckProcess (Real speed, Volatility sigma, Real x0, const boost::function< Real(Real)> &b, Discretization discretization=MidPoint, Real intEps=1e-4) | |
| StochasticProcess interface | |
| Real | x0 () const | 
| returns the initial value of the state variable | |
| Real | speed () const | 
| Real | volatility () const | 
| 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 | 
Extended Ornstein-Uhlenbeck process class.
This class describes the Ornstein-Uhlenbeck process governed by
![\[ dx = a (b(t) - x_t) dt + \sigma dW_t. \]](form_135.png) 
| 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.