- 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
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.