julian::StochasticProcess Class Reference

Class is an abstract type expressing the concept of stochastic process. More...

#include <stochasticProcess.hpp>

Inheritance diagram for julian::StochasticProcess:

Public Member Functions
	StochasticProcess ()
	Constructor. More...
virtual Path	getPath (double initial_value, const TimeGrid &grid, SmartPointer< UniformRNG > &rng) const =0
	generates path More...
virtual Path	getPath (double initial_value, const TimeGrid &grid, const std::vector< double > &rnds) const =0
	generates path More...
virtual StochasticProcess *	clone () const =0
	Virtual copy constructor. More...
virtual	~StochasticProcess ()
	Destructor. More...

Detailed Description

Class is an abstract type expressing the concept of stochastic process.

Stochastic process is a mathematical object generating discrete time series (Path) according to certain dynamics.

Constructor & Destructor Documentation

julian::StochasticProcess::StochasticProcess ( )

inline

Constructor.

Default constructor.

virtual julian::StochasticProcess::~StochasticProcess ( )

inlinevirtual

Destructor.

Default destructor.

Member Function Documentation

virtual StochasticProcess* julian::StochasticProcess::clone ( ) const

pure virtual

Virtual copy constructor.

Implemented in julian::HestonProcess, julian::GeometricBrownianMotion, and julian::ArithmeticBrownianMotion.

virtual Path julian::StochasticProcess::getPath ( double  initial_value, const TimeGrid &  grid, SmartPointer< UniformRNG > &  rng  ) const

pure virtual

generates path

Parameters

initial_value	Value of the process for t = 0;
grid	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

Implemented in julian::HestonProcess, julian::GeometricBrownianMotion, and julian::ArithmeticBrownianMotion.

virtual Path julian::StochasticProcess::getPath ( double  initial_value, const TimeGrid &  grid, const std::vector< double > &  rnds  ) const

pure virtual

generates path

Parameters

initial_value	Value of the process for t = 0;
grid	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

Implemented in julian::HestonProcess, julian::GeometricBrownianMotion, and julian::ArithmeticBrownianMotion.

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The documentation for this class was generated from the following file:

• C:/Unix/home/OEM/jULIAN/src/mathematics/stochasticProcesses/stochasticProcess.hpp