- 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
Real expectation | ( | Time | t0, |
Real | x0, | ||
Time | dt | ||
) | const [virtual] |
returns the expectation 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.
Reimplemented from StochasticProcess1D.
Real stdDeviation | ( | Time | t0, |
Real | x0, | ||
Time | dt | ||
) | const [virtual] |
returns the standard deviation 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.
Reimplemented from StochasticProcess1D.