Ornstein-Uhlenbeck process class. More...
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
 Inheritance diagram for OrnsteinUhlenbeckProcess:
 Inheritance diagram for OrnsteinUhlenbeckProcess:| Public Member Functions | |
| OrnsteinUhlenbeckProcess (Real speed, Volatility vol, Real x0=0.0, Real level=0.0) | |
| Real | x0 () const | 
| returns the initial value of the state variable | |
| Real | speed () const | 
| Real | volatility () const | 
| Real | level () const | 
| Real | variance (Time t0, Real x0, Time dt) const | 
| StochasticProcess interface | |
| Real | drift (Time t, Real x) const | 
| returns the drift part of the equation, i.e. \( \mu(t, x_t) \) | |
| Real | diffusion (Time t, Real x) const | 
| returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) | |
| Real | expectation (Time t0, Real x0, Time dt) const | 
| Real | stdDeviation (Time t0, Real x0, Time dt) const | 
|  Public Member Functions inherited from StochasticProcess1D | |
| virtual Real | evolve (Time t0, Real x0, Time dt, Real dw) const | 
| virtual Real | apply (Real x0, Real dx) const | 
|  Public Member Functions inherited from StochasticProcess | |
| virtual Size | factors () const | 
| returns the number of independent factors of the process | |
| 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 () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Member Functions inherited from StochasticProcess1D | |
| StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
|  Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess (const boost::shared_ptr< discretization > &) | |
|  Protected Attributes inherited from StochasticProcess1D | |
| boost::shared_ptr< discretization > | discretization_ | 
|  Protected Attributes inherited from StochasticProcess | |
| boost::shared_ptr< discretization > | discretization_ | 
Ornstein-Uhlenbeck process class.
This class describes the Ornstein-Uhlenbeck process governed by
\[ dx = a (r - x_t) dt + \sigma dW_t. \]
returns the expectation \( E(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) of the process after a time interval \( \Delta t \) 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 \( S(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) of the process after a time interval \( \Delta t \) 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 \( V(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess1D.