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StoppingTime Class Reference

#include <StochasticProcess.h>

Inheritance diagram for StoppingTime:

FirstExitTime< RangeType, ScalarType > HittingTime< RangeType, ScalarType > List of all members.

Detailed Description

Stopping time for a stochastic Process. See book, 3.3.

Definition at line 51 of file StochasticProcess.h.

Public Member Functions

 StoppingTime (int T_oo)
virtual bool stop (int t)=0
int valueAlongCurrentPath ()

Protected Attributes

int T

Constructor & Destructor Documentation

StoppingTime::StoppingTime int    T_oo [inline]

T_oo number of time steps to horizon.

Definition at line 60 of file StochasticProcess.h.

Member Function Documentation

virtual bool StoppingTime::stop int    t [pure virtual]

Returns true if we must stop at time t, false otherwise. In concrete implementations make sure it returns true as soon as we hit the horizon.

Implemented in HittingTime< RangeType, ScalarType >, and FirstExitTime< RangeType, ScalarType >.

Referenced by BrownianScalarProcess::newPathSegment(), BrownianVectorProcess::newPathSegment(), StochasticProcess< Real, Real >::newPathSegment(), and valueAlongCurrentPath().

int StoppingTime::valueAlongCurrentPath   [inline]

The smallest time t such that stop(t) returns true.

Definition at line 71 of file StochasticProcess.h.

References stop().

Member Data Documentation

int StoppingTime::T [protected]

Definition at line 55 of file StochasticProcess.h.

Referenced by FirstExitTime< RangeType, ScalarType >::stop(), and HittingTime< RangeType, ScalarType >::stop().

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