ExtendedOrnsteinUhlenbeckProcess Class Reference
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 |
Detailed Description
Extended Ornstein-Uhlenbeck process class.
This class describes the Ornstein-Uhlenbeck process governed by
Member Function Documentation
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.
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.
returns the variance
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.