HybridHestonHullWhiteProcess Class Reference
[Stochastic processes]

#include <ql/processes/hybridhestonhullwhiteprocess.hpp>

Inherits JointStochasticProcess.

List of all members.


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

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< ArraypostEvolve (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< MatrixcrossModelCorrelation (Time t0, const Array &x0) const
void update ()

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.