- QuantLib
- GeneralizedOrnsteinUhlenbeckProcess
Piecewise linear Ornstein-Uhlenbeck process class. More...
#include <ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp>

Public Member Functions | |
| GeneralizedOrnsteinUhlenbeckProcess (const boost::function< Real(Time)> &speed, const boost::function< Real(Time)> &vol, Real x0=0.0, Real level=0.0) | |
| Real | speed (Time t) const |
| Real | volatility (Time t) const |
| Real | level () const |
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 |
Piecewise linear Ornstein-Uhlenbeck process class.
This class describes the Ornstein-Uhlenbeck process governed by
where the coefficients a and sigma are piecewise linear.
| 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.