crossModelCorrelation (3) - Linux Manuals

crossModelCorrelation: 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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