julian::CirProcess Class Reference
Class is implements Cox–Ingersoll–Ross (CIR) process. More...
#include <cirProcess.hpp>
Public Member Functions | |
| CirProcess () | |
| Default constructor. More... | |
| CirProcess (double mrs, double lt, double vol) | |
| Constructor. More... | |
| Path | getPath (double, const TimeGrid &, SmartPointer< UniformRNG > &rng) |
| generates path More... | |
| Path | getPath (double, const TimeGrid &, const std::vector< double > &) const |
| generates path More... | |
| CirProcess * | clone () |
| Virtual copy constructor. More... | |
Private Attributes | |
| double | mrs_ |
| mean reversion speed More... | |
| double | lt_ |
| long-term mean More... | |
| double | vol_ |
| volatility More... | |
Detailed Description
Class is implements Cox–Ingersoll–Ross (CIR) process.
Cox-Ingersoll-Ross (CIR) is a stochastic process governed by following SDE:
![\[dX_{t} = \alpha (\theta - X_{t}) dt + \sigma \sqrt{X_{t}} dW_{t}\]](form_230.png)
where:
is mean reversion speed
is long-term mean
is volatility
is Wiener Process
Constructor & Destructor Documentation
|
inline |
Default constructor.
|
inline |
Constructor.
Member Function Documentation
| CirProcess * julian::CirProcess::clone | ( | ) |
Virtual copy constructor.
| Path julian::CirProcess::getPath | ( | double | x0, |
| const TimeGrid & | tg, | ||
| SmartPointer< UniformRNG > & | rng | ||
| ) |
generates path
- Parameters
-
x0 Value of the process for t = 0; tg points in time for which the value of process is generated rng random number generator that will be used to generate stochastic process
- Returns
- path representing time series
| Path julian::CirProcess::getPath | ( | double | x0, |
| const TimeGrid & | tg, | ||
| const std::vector< double > & | rnds | ||
| ) | const |
generates path
Milstein discretization is used (see [21])
![\[v_{t+dt} = v_{t} + \alpha (\theta + v_{t}) + \sigma \sqrt{v_{t}dt}dZ + \frac{1}{4} \sigma^{2} dt (dZ^2-1) \]](form_229.png)
- Parameters
-
x0 Value of the process for t = 0; tg points in time for which the value of process is generated rnds random number that will be used to generate the path
- Returns
- path representing time series
Member Data Documentation
|
private |
long-term mean
|
private |
mean reversion speed
|
private |
volatility
The documentation for this class was generated from the following files:
- C:/Unix/home/OEM/jULIAN/src/mathematics/stochasticProcesses/cirProcess.hpp
- C:/Unix/home/OEM/jULIAN/src/mathematics/stochasticProcesses/cirProcess.cpp
