HybridHestonHullWhiteProcess Class Reference
[Stochastic processes]
Hybrid Heston Hull-White stochastic process.
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#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 |
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boost::shared_ptr < HullWhiteForwardProcess > | hullWhiteProcess () const |
| void | update () |
| Real | correlation () const |
Protected Attributes | |
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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.