GsrProcess | quantlib.js

GSR stochastic process

Hierarchy

ForwardMeasureProcess1D
- GsrProcess

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new GsrProcess(times: Real[], vols: Real[], reversions: Real[], T?: Real, referenceDate?: Date, dc?: DayCounter): GsrProcess

- Defined in ql/processes/gsrprocess.ts:14
Parameters
- times: Real[]
- vols: Real[]
- reversions: Real[]
- Default value T: Real = 60
- Default value referenceDate: Date = null
- Default value dc: DayCounter = new DayCounter()
Returns GsrProcess

Properties

_discretization

_discretization: discretization

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _referenceDate

_referenceDate: Date

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

G

G(t: Time, w: Time, x: Real): Real

- Defined in ql/processes/gsrprocess.ts:84
Parameters
- t: Time
- w: Time
- x: Real
Returns Real

apply1

apply1(x0: Real[], dx: Real[]): Real[]

Inherited from StochasticProcess1D.apply1

Overrides StochasticProcess.apply1
- Defined in ql/stochasticprocess.ts:335
Parameters
- x0: Real[]
- dx: Real[]
Returns Real[]

apply2

apply2(x0: Real, dx: Real): Real

Inherited from StochasticProcess1D.apply2
- Defined in ql/stochasticprocess.ts:264
applies a change to the asset value. By default, it returns $ x + \Delta x $.

Parameters
- x0: Real
- dx: Real
Returns Real

checkT

checkT(t: Time): void

- Defined in ql/processes/gsrprocess.ts:98
Parameters
- t: Time
Returns void

covariance

covariance(t0: Time, x0: Real[], dt: Time): Matrix

Inherited from StochasticProcess1D.covariance

Overrides StochasticProcess.covariance
- Defined in ql/stochasticprocess.ts:314
Parameters
- t0: Time
- x0: Real[]
- dt: Time
Returns Matrix

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

diffusion1

diffusion1(t: Time, x: Real[]): Matrix

Inherited from StochasticProcess1D.diffusion1

Overrides StochasticProcess.diffusion1
- Defined in ql/stochasticprocess.ts:287
Parameters
- t: Time
- x: Real[]
Returns Matrix

diffusion2

diffusion2(t: Time, x: Real): Real

Overrides StochasticProcess1D.diffusion2
- Defined in ql/processes/gsrprocess.ts:37
Parameters
- t: Time
- x: Real
Returns Real

drift1

drift1(t: Time, x: Real[]): Real[]

Inherited from StochasticProcess1D.drift1

Overrides StochasticProcess.drift1
- Defined in ql/stochasticprocess.ts:278
Parameters
- t: Time
- x: Real[]
Returns Real[]

drift2

drift2(t: Time, x: Real): Real

Overrides StochasticProcess1D.drift2
- Defined in ql/processes/gsrprocess.ts:30
Parameters
- t: Time
- x: Real
Returns Real

evolve1

evolve1(t0: Time, x0: Real[], dt: Time, dw: Real[]): Real[]

Inherited from StochasticProcess1D.evolve1

Overrides StochasticProcess.evolve1
- Defined in ql/stochasticprocess.ts:323
Parameters
- t0: Time
- x0: Real[]
- dt: Time
- dw: Real[]
Returns Real[]

evolve2

evolve2(t0: Time, x0: Real, dt: Time, dw: Real): Real

Inherited from StochasticProcess1D.evolve2
- Defined in ql/stochasticprocess.ts:255
returns the asset value after a time interval $ \Delta t $ according to the given discretization. By default, it returns $$ E(x_0,t_0,\Delta t) + S(x_0,t_0,\Delta t) \cdot \Delta w $$ where $ E $ is the expectation and $ S $ the standard deviation.

Parameters
- t0: Time
- x0: Real
- dt: Time
- dw: Real
Returns Real

expectation1

expectation1(t0: Time, x0: Real[], dt: Time): Real[]

Inherited from StochasticProcess1D.expectation1

Overrides StochasticProcess.expectation1
- Defined in ql/stochasticprocess.ts:296
Parameters
- t0: Time
- x0: Real[]
- dt: Time
Returns Real[]

expectation2

expectation2(w: Time, xw: Real, dt: Time): Real

Overrides StochasticProcess1D.expectation2
- Defined in ql/processes/gsrprocess.ts:42
Parameters
- w: Time
- xw: Real
- dt: Time
Returns Real

factors

factors(): Size

Inherited from StochasticProcess.factors
- Defined in ql/stochasticprocess.ts:36
returns the number of independent factors of the process

Returns Size

flushCache

flushCache(): void

- Defined in ql/processes/gsrprocess.ts:107
reset cache

Returns void

fmpInit1

fmpInit1(t: Time): ForwardMeasureProcess1D

Inherited from ForwardMeasureProcess1D.fmpInit1
- Defined in ql/processes/forwardmeasureprocess.ts:47
Parameters
- t: Time
Returns ForwardMeasureProcess1D

fmpInit2

fmpInit2(d: discretization): ForwardMeasureProcess1D

Inherited from ForwardMeasureProcess1D.fmpInit2
- Defined in ql/processes/forwardmeasureprocess.ts:53
Parameters
- d: discretization
Returns ForwardMeasureProcess1D

getForwardMeasureTime

getForwardMeasureTime(): Time

Inherited from ForwardMeasureProcess1D.getForwardMeasureTime
- Defined in ql/processes/forwardmeasureprocess.ts:63
Returns Time

init

init(disc: discretization): StochasticProcess1D

Inherited from StochasticProcess1D.init

Overrides StochasticProcess.init
- Defined in ql/stochasticprocess.ts:183
Parameters
- disc: discretization
Returns StochasticProcess1D

initialValues

initialValues(): Real[]

Inherited from StochasticProcess1D.initialValues

Overrides StochasticProcess.initialValues
- Defined in ql/stochasticprocess.ts:274
Returns Real[]

reversion

reversion(t: Time): Real

- Defined in ql/processes/gsrprocess.ts:75
Parameters
- t: Time
Returns Real

setForwardMeasureTime

setForwardMeasureTime(t: Time): void

Overrides ForwardMeasureProcess1D.setForwardMeasureTime
- Defined in ql/processes/gsrprocess.ts:66
Parameters
- t: Time
Returns void

sigma

sigma(t: Time): Real

- Defined in ql/processes/gsrprocess.ts:71
Parameters
- t: Time
Returns Real

size

size(): Size

Inherited from StochasticProcess1D.size

Overrides StochasticProcess.size
- Defined in ql/stochasticprocess.ts:270
Returns Size

stdDeviation1

stdDeviation1(t0: Time, x0: Real[], dt: Time): Matrix

Inherited from StochasticProcess1D.stdDeviation1

Overrides StochasticProcess.stdDeviation1
- Defined in ql/stochasticprocess.ts:305
Parameters
- t0: Time
- x0: Real[]
- dt: Time
Returns Matrix

stdDeviation2

stdDeviation2(t0: Time, x0: Real, dt: Time): Real

Overrides StochasticProcess1D.stdDeviation2
- Defined in ql/processes/gsrprocess.ts:49
Parameters
- t0: Time
- x0: Real
- dt: Time
Returns Real

time

time(d: Date): Real

Overrides StochasticProcess.time
- Defined in ql/processes/gsrprocess.ts:58
Parameters
- d: Date
Returns Real

update

update(): void

Inherited from StochasticProcess.update

Overrides ObserverObservable.update
- Defined in ql/stochasticprocess.ts:137
Returns void

variance

variance(w: Time, x0: Real, dt: Time): Real

Overrides StochasticProcess1D.variance
- Defined in ql/processes/gsrprocess.ts:53
Parameters
- w: Time
- x0: Real
- dt: Time
Returns Real

x0

x0(): Real

Overrides StochasticProcess1D.x0
- Defined in ql/processes/gsrprocess.ts:26
Returns Real

y

y(t: Time): Real

- Defined in ql/processes/gsrprocess.ts:79
Parameters
- t: Time
Returns Real

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

times: Real[]

vols: Real[]

reversions: Real[]

Default value T: Real = 60

Default value referenceDate: Date = null

Default value dc: DayCounter = new DayCounter()

Returns GsrProcess

Properties

Protected _T

Private _core

Private _dc

_discretization

_isDisposed

_observables

_observers

Private _referenceDate

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

G

Parameters

t: Time

w: Time

x: Real

Returns Real

apply1

Parameters

x0: Real[]

dx: Real[]

Returns Real[]

apply2

Parameters

x0: Real

dx: Real

Returns Real

checkT

Parameters

t: Time