forward-measure stochastic process More...
#include <ql/processes/forwardmeasureprocess.hpp>
 Inheritance diagram for ForwardMeasureProcess:
 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< Array > | initialValues () const =0 | 
| returns the initial values of the state variables | |
| virtual Disposable< Array > | drift (Time t, const Array &x) const =0 | 
| returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) | |
| virtual Disposable< Matrix > | diffusion (Time t, const Array &x) const =0 | 
| returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) | |
| 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 | 
| virtual Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const | 
| virtual Disposable< Array > | apply (const Array &x0, const Array &dx) const | 
| virtual Time | time (const Date &) const | 
| void | update () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
| Protected Member Functions | |
| ForwardMeasureProcess (Time T) | |
| ForwardMeasureProcess (const boost::shared_ptr< discretization > &) | |
|  Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess (const boost::shared_ptr< discretization > &) | |
| Protected Attributes | |
| Time | T_ | 
|  Protected Attributes inherited from StochasticProcess | |
| boost::shared_ptr< discretization > | discretization_ | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
forward-measure stochastic process
stochastic process whose dynamics are expressed in the forward measure.