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BrownianScalarProcess Class Reference

#include <StochasticProcess.h>

Inheritance diagram for BrownianScalarProcess:

StochasticProcess< Real, Real > ScalarBrownianMotion List of all members.

Detailed Description

Similar to BrownianVectorProcess but in dimension one treated as a separate case to avoid awkward syntax.

Author:
Michael J. Meyer

Definition at line 616 of file StochasticProcess.h.

Public Member Functions

RealVectorgetPath ()
RealcurrentPath (int t)
 BrownianScalarProcess (int T)
 ~BrownianScalarProcess ()
virtual void newPathSegment (int t, int s)
virtual int newPathSegment (int t, StoppingTime *tau)
void switchToQMC ()
void switchToMC ()

Protected Attributes

RealVector path
RealVector Z
StochasticGeneratorSG


Constructor & Destructor Documentation

BrownianScalarProcess::BrownianScalarProcess int    T [inline]
 

Parameters:
T number of time steps to the horizon.

Definition at line 637 of file StochasticProcess.h.

References ScalarProcess, and StochasticProcess< Real, Real >::T.

BrownianScalarProcess::~BrownianScalarProcess   [inline]
 

Definition at line 643 of file StochasticProcess.h.


Member Function Documentation

RealVector& BrownianScalarProcess::getPath   [inline]
 

The path array.

Definition at line 628 of file StochasticProcess.h.

Real& BrownianScalarProcess::currentPath int    t [inline, virtual]
 

The state of the process at time t.

Implements StochasticProcess< Real, Real >.

Definition at line 631 of file StochasticProcess.h.

References Real.

virtual void BrownianScalarProcess::newPathSegment int    t,
int    s
[inline, virtual]
 

Computes a new path segment from time t to time s through all intermediate times t+1,...,s-1. It is assumed that a path has been computed up to time t. Default implementation: calls to timeStep.

Parameters:
t current time.
s future time.

Reimplemented from StochasticProcess< Real, Real >.

Definition at line 648 of file StochasticProcess.h.

References StochasticGenerator::newWienerIncrements(), and StochasticProcess< Real, Real >::timeStep().

virtual int BrownianScalarProcess::newPathSegment int    t,
StoppingTime   tau
[inline, virtual]
 

Computes a new path segment from time t to the random time tau&gt=t and returns the value of the time tau >= t when the path is stopped. Default implementation: calls to timeStep.

Parameters:
t current time
tau random future time

Reimplemented from StochasticProcess< Real, Real >.

Definition at line 655 of file StochasticProcess.h.

References StochasticGenerator::newWienerIncrements(), StoppingTime::stop(), and StochasticProcess< Real, Real >::timeStep().

void BrownianScalarProcess::switchToQMC   [inline]
 

Switches to quasi random dynamics based on Sobol sequence.

Definition at line 667 of file StochasticProcess.h.

void BrownianScalarProcess::switchToMC   [inline]
 

Switches to pseudo random dynamics based on Mersenne Twister.

Definition at line 676 of file StochasticProcess.h.


Member Data Documentation

RealVector BrownianScalarProcess::path [protected]
 

Definition at line 620 of file StochasticProcess.h.

RealVector BrownianScalarProcess::Z [protected]
 

Definition at line 621 of file StochasticProcess.h.

StochasticGenerator* BrownianScalarProcess::SG [protected]
 

Definition at line 623 of file StochasticProcess.h.


The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:32 2003 for Libor-Library by doxygen1.3-rc3