Cross Asset Model State Process. More...

#include <qle/processes/crossassetstateprocess.hpp>

Inheritance diagram for CrossAssetStateProcess:

Classes
class	ExactDiscretization

Public Member Functions
	CrossAssetStateProcess (QuantLib::ext::shared_ptr< const CrossAssetModel > model)
Size	size () const override
Size	factors () const override
Array	initialValues () const override
Array	drift (Time t, const Array &x) const override
Matrix	diffusion (Time t, const Array &x) const override
Array	evolve (Time t0, const Array &x0, Time dt, const Array &dw) const override
void	resetCache (const Size timeSteps) const
const Matrix &	sqrtCorrelation () const

Protected Member Functions
virtual Matrix	diffusionOnCorrelatedBrownians (Time t, const Array &x) const
virtual Matrix	diffusionOnCorrelatedBrowniansImpl (Time t, const Array &x) const
void	updateSqrtCorrelation () const

Protected Attributes
QuantLib::ext::shared_ptr< const CrossAssetModel >	model_
std::vector< QuantLib::ext::shared_ptr< StochasticProcess > >	crCirpp_
Size	cirppCount_
Matrix	sqrtCorrelation_
bool	cacheNotReady_m_ = true
bool	cacheNotReady_d_ = true
Size	timeStepsToCache_m_ = 0
Size	timeStepCache_m_ = 0
Size	timeStepsToCache_d_ = 0
Size	timeStepCache_d_ = 0
std::vector< Array >	cache_m_
std::vector< Matrix >	cache_d_

Detailed Description

Cross Asset Model State Process.

Member Function Documentation

Size size ( ) const

override