HybridHestonHullWhiteProcess (3) - Linux Manuals
HybridHestonHullWhiteProcess: Hybrid Heston Hull-White stochastic process.
NAME
QuantLib::HybridHestonHullWhiteProcess - Hybrid Heston Hull-White stochastic process.
SYNOPSIS
#include <ql/processes/hybridhestonhullwhiteprocess.hpp>
Inherits QuantLib::JointStochasticProcess.
Public Member Functions
HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors)
void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const
Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const Array &dw, const Array &y0) const
DiscountFactor numeraire (Time t, const Array &x) const
bool correlationIsStateDependent () const
Disposable< Matrix > crossModelCorrelation (Time t0, const Array &x0) const
boost::shared_ptr< HestonProcess > hestonProcess () const
boost::shared_ptr< HullWhiteForwardProcess > hullWhiteProcess () const
void update ()
Real correlation () const
Protected Attributes
const boost::shared_ptr< HullWhite > hullWhiteModel_
const Real corrEquityShortRate_
const Time T_
DiscountFactor endDiscount_
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
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.
Reimplemented from StochasticProcess.
Author
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