Main Page   Namespace List   Class Hierarchy   Alphabetical List   Compound List   File List   Namespace Members   Compound Members   File Members  

FirstExitTime< RangeType, ScalarType > Class Template Reference

#include <StochasticProcess.h>

Inheritance diagram for FirstExitTime< RangeType, ScalarType >:

StoppingTime List of all members.

Detailed Description

template<typename RangeType, typename ScalarType>
class FirstExitTime< RangeType, ScalarType >

Stopping time triggering as soon as the stochastic process X exits a region D in its range. This range is populated with elements of the vector type RangeType with components of the type ScalarType. See StochasticProcess.

Michael J. Meyer

Definition at line 140 of file StochasticProcess.h.

Public Member Functions

 FirstExitTime (StochasticProcess< RangeType, ScalarType > *Y, Region< RangeType > *G)
bool stop (int t)

Constructor & Destructor Documentation

template<typename RangeType, typename ScalarType>
FirstExitTime< RangeType, ScalarType >::FirstExitTime StochasticProcess< RangeType, ScalarType > *    Y,
Region< RangeType > *    G

Y Process exiting region G.
G Region exited by process Y.

Definition at line 151 of file StochasticProcess.h.

References LiborFunctional::X().

Member Function Documentation

template<typename RangeType, typename ScalarType>
bool FirstExitTime< RangeType, ScalarType >::stop int    t [inline, virtual]

Stop as soon as X(t) leaves D or t=horizon.

Implements StoppingTime.

Definition at line 157 of file StochasticProcess.h.

References Region< RangeType >::isMember(), StoppingTime::T, and LiborFunctional::X().

The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3