QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Types | Public Member Functions | Protected Attributes | List of all members
HybridHestonHullWhiteProcess Class Reference

Hybrid Heston Hull-White stochastic process. More...

#include <ql/processes/hybridhestonhullwhiteprocess.hpp>

+ Inheritance diagram for HybridHestonHullWhiteProcess:

Public Types

enum  Discretization { Euler, BSMHullWhite }
 
- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Public Member Functions

 HybridHestonHullWhiteProcess (const ext::shared_ptr< HestonProcess > &hestonProcess, const ext::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Discretization discretization=BSMHullWhite)
 
Size size () const
 returns the number of dimensions of the stochastic process
 
Disposable< ArrayinitialValues () const
 returns the initial values of the state variables
 
Disposable< Arraydrift (Time t, const Array &x) const
 returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
 
Disposable< Matrixdiffusion (Time t, const Array &x) const
 returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
 
Disposable< Arrayapply (const Array &x0, const Array &dx) const
 
Disposable< Arrayevolve (Time t0, const Array &x0, Time dt, const Array &dw) const
 
DiscountFactor numeraire (Time t, const Array &x) const
 
const ext::shared_ptr< HestonProcess > & hestonProcess () const
 
const ext::shared_ptr< HullWhiteForwardProcess > & hullWhiteProcess () const
 
Real eta () const
 
Time time (const Date &date) const
 
Discretization discretization () const
 
void update ()
 
- Public Member Functions inherited from StochasticProcess
virtual Size factors () const
 returns the number of independent factors of the process
 
virtual Disposable< Arrayexpectation (Time t0, const Array &x0, Time dt) const
 
virtual Disposable< MatrixstdDeviation (Time t0, const Array &x0, Time dt) const
 
virtual Disposable< Matrixcovariance (Time t0, const Array &x0, Time dt) const
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

const ext::shared_ptr< HestonProcesshestonProcess_
 
const ext::shared_ptr< HullWhiteForwardProcesshullWhiteProcess_
 
const ext::shared_ptr< HullWhitehullWhiteModel_
 
const Real corrEquityShortRate_
 
const Discretization discretization_
 
const Real maxRho_
 
const Time T_
 
DiscountFactor endDiscount_
 
- Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretizationdiscretization_
 

Additional Inherited Members

- Protected Member Functions inherited from StochasticProcess
 StochasticProcess ()
 
 StochasticProcess (const ext::shared_ptr< discretization > &)
 

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

◆ apply()

Disposable<Array> apply ( const Array x0,
const Array dx 
) const
virtual

applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \).

Reimplemented from StochasticProcess.

◆ evolve()

Disposable<Array> evolve ( Time  t0,
const Array x0,
Time  dt,
const Array dw 
) const
virtual

returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns

\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]

where \( E \) is the expectation and \( S \) the standard deviation.

Reimplemented from StochasticProcess.

◆ time()

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.

◆ update()

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.

Implements Observer.