GeneralizedOrnsteinUhlenbeckProcess Class Reference

### A free/open-source library for quantitative finance

Public Member Functions
GeneralizedOrnsteinUhlenbeckProcess Class Reference
Stochastic processes

Piecewise linear Ornstein-Uhlenbeck process class. More...

`#include <ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp>`

Inheritance diagram for GeneralizedOrnsteinUhlenbeckProcess:
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List of all members.

## Public Member Functions
| GeneralizedOrnsteinUhlenbeckProcess (const boost::function< Real(Time)> &speed, const boost::function< Real(Time)> &vol, Real x0=0.0, Real level=0.0)
Real | speed (Time t) const
Real | volatility (Time t) const
Real | level () const
StochasticProcess1D interface
Real | x0 () const
| returns the initial value of the state variable
Real | drift (Time t, Real x) const
| returns the drift part of the equation, i.e.
Real | diffusion (Time t, Real x) const
| returns the diffusion part of the equation, i.e.
Real | expectation (Time t0, Real x0, Time dt) const
Real | stdDeviation (Time t0, Real x0, Time dt) const
Real | variance (Time t0, Real x0, Time dt) const

## Detailed Description

Piecewise linear Ornstein-Uhlenbeck process class.

This class describes the Ornstein-Uhlenbeck process governed by

where the coefficients a and sigma are piecewise linear.

## Member Function Documentation

Real expectation | ( | Time | t0,
|  | Real | x0,
|  | Time | dt
| ) |  | const`[virtual]`

returns the expectation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.

Real stdDeviation | ( | Time | t0,
|  | Real | x0,
|  | Time | dt
| ) |  | const`[virtual]`

returns the standard deviation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.

Real variance | ( | Time | t0,
|  | Real | x0,
|  | Time | dt
| ) |  | const`[virtual]`

returns the variance of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.