postEvolve (3) - Linux Manuals

postEvolve: 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

Generated automatically by Doxygen for QuantLib from the source code.