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

forward-measure stochastic process More...

#include <ql/processes/forwardmeasureprocess.hpp>

+ Inheritance diagram for ForwardMeasureProcess:

Public Member Functions

virtual void setForwardMeasureTime (Time)
 
Time getForwardMeasureTime () const
 
- Public Member Functions inherited from StochasticProcess
virtual Size size () const =0
 returns the number of dimensions of the stochastic process
 
virtual Size factors () const
 returns the number of independent factors of the process
 
virtual Disposable< ArrayinitialValues () const =0
 returns the initial values of the state variables
 
virtual Disposable< Arraydrift (Time t, const Array &x) const =0
 returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
 
virtual Disposable< Matrixdiffusion (Time t, const Array &x) const =0
 returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
 
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
 
virtual Disposable< Arrayevolve (Time t0, const Array &x0, Time dt, const Array &dw) const
 
virtual Disposable< Arrayapply (const Array &x0, const Array &dx) const
 
virtual Time time (const Date &) 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 Member Functions

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

Protected Attributes

Time T_
 
- Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretizationdiscretization_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

forward-measure stochastic process

stochastic process whose dynamics are expressed in the forward measure.