Geman-Roncoroni process class. More...
#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
Inheritance diagram for GemanRoncoroniProcess:Public Member Functions | |
| GemanRoncoroniProcess (Real x0, Real alpha, Real beta, Real gamma, Real delta, Real eps, Real zeta, Real d, Real k, Real tau, Real sig2, Real a, Real b, Real theta1, Real theta2, Real theta3, Real psi) | |
| 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. \( \mu(t, x_t) \) | |
| Real | diffusion (Time t, Real x) const |
| returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) | |
| Real | stdDeviation (Time t0, Real x0, Time dt) const |
| Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
| Real | evolve (Time t0, Real x0, Time dt, Real dw, const Array &du) const |
Public Member Functions inherited from StochasticProcess1D | |
| virtual Real | expectation (Time t0, Real x0, Time dt) const |
| virtual Real | variance (Time t0, Real x0, Time dt) const |
| virtual Real | apply (Real x0, Real dx) const |
Public Member Functions inherited from StochasticProcess | |
| virtual Size | factors () const |
| returns the number of independent factors of the process | |
| virtual Time | time (const Date &) const |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from StochasticProcess1D | |
| StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess (const boost::shared_ptr< discretization > &) | |
Protected Attributes inherited from StochasticProcess1D | |
| boost::shared_ptr< discretization > | discretization_ |
Protected Attributes inherited from StochasticProcess | |
| boost::shared_ptr< discretization > | discretization_ |
Geman-Roncoroni process class.
This class describes the Geman-Roncoroni process governed by
\[ \begin{array}{rcl} dE(t) &=& \left[ \frac{\partial}{\partial t} \mu(t) +\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt +\sigma dW(t) + h(E(t^-))dJ(t) \\ \mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t) +\delta \cos(\zeta + 4\pi t) \end{array} \]
returns the standard deviation \( S(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess1D.
returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns
\[ E(x_0,t_0,\Delta t) + S(x_0,t_0,\Delta t) \cdot \Delta w \]
where \( E \) is the expectation and \( S \) the standard deviation.
Reimplemented from StochasticProcess1D.