HybridHestonHullWhiteProcess Class Reference
[Stochastic processes]
#include <ql/processes/hybridhestonhullwhiteprocess.hpp>
Inherits JointStochasticProcess.
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< 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 |
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.