Hybrid Heston Hull-White stochastic process. More...
#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 () |
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virtual Size | factors () const |
returns the number of independent factors of the process | |
virtual Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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_ |
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boost::shared_ptr< discretization > | discretization_ |
Additional Inherited Members | |
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StochasticProcess (const boost::shared_ptr< discretization > &) | |
Hybrid Heston Hull-White stochastic process.
This class implements a three factor Heston Hull-White model
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virtual |
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess.
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.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.