HybridHestonHullWhiteProcess Class Reference
[Stochastic processes]
Hybrid Heston Hull-White stochastic process.
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#include <ql/processes/hybridhestonhullwhiteprocess.hpp>

Public Types | |
| enum | Discretization { Euler, BSMHullWhite } |
Public Member Functions | |
| HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Discretization discretization=BSMHullWhite) | |
| 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 > | apply (const Array &x0, const Array &dx) const |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
| DiscountFactor | numeraire (Time t, const Array &x) const |
|
const boost::shared_ptr < HestonProcess > & | hestonProcess () const |
|
const boost::shared_ptr < HullWhiteForwardProcess > & | hullWhiteProcess () const |
| Real | eta () const |
| Time | time (const Date &date) const |
| Discretization | discretization () const |
| void | update () |
Protected Attributes | |
|
const boost::shared_ptr < HestonProcess > | hestonProcess_ |
|
const boost::shared_ptr < HullWhiteForwardProcess > | hullWhiteProcess_ |
|
const boost::shared_ptr < HullWhite > | hullWhiteModel_ |
| const Real | corrEquityShortRate_ |
| const Discretization | discretization_ |
| const Real | maxRho_ |
| const Time | T_ |
| DiscountFactor | endDiscount_ |
Detailed Description
Hybrid Heston Hull-White stochastic process.This class implements a three factor Heston Hull-White model
- Bug:
- This class was not tested enough to guarantee its functionality... work in progress
Member Function Documentation
| Disposable<Array> apply | ( | const Array & | x0, | |
| const Array & | dx | |||
| ) | const [virtual] |
applies a change to the asset value. By default, it returns
.
Reimplemented from StochasticProcess.
| Disposable<Array> evolve | ( | Time | t0, | |
| const Array & | x0, | |||
| Time | dt, | |||
| const Array & | dw | |||
| ) | const [virtual] |
returns the asset value after a time interval
according to the given discretization. By default, it returns
where
is the expectation and
the standard deviation.
Reimplemented from StochasticProcess.
| Time time | ( | const Date & | ) | const [virtual] |
returns the time value corresponding to the given date in the reference system of the stochastic process.
- Note:
- As a number of processes might not need this functionality, a default implementation is given which raises an exception.
Reimplemented from StochasticProcess.
| void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from StochasticProcess.