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.

Author:
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
[inline]
 

Parameters:
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