GaussianProcess Class Reference

#include <GaussianProcess.h>

List of all members.

Public Member Functions
	GaussianProcess (const valarray< LongInteger > schedule, const LongNatural &nDates, const Real &initialRate, const valarray< Real > drift, const Real &meanReversionSpeed, Real &vol)
	Default constructor.
	GaussianProcess (const valarray< LongInteger > schedule, const LongNatural &nDates, const Real &initialRate, const valarray< Real > drift, const Real &meanReversionSpeed, volsurface *vol, Real strike)
	GaussianProcess (void)
	~GaussianProcess ()
valarray< Real >	BuildPath (valarray< Real > gaussianShocks)
	Build the Path according to given gaussian shocks.
Real	BuildTerminalPoint (Real gaussianShock)
	For a 1D, only one termial Point (non path dependant).
void	GetStepIncrements (valarray< Real > stepIncrements)
	Return Step Increments.
Private Attributes
valarray< LongInteger >	m_vDates
valarray< Real >	m_vDrift
valarray< Real >	m_vStepSize
Real	m_dbMeanReversionSpeed
Real	m_dbVol
volsurface *	_vol
Real	_strike
Real	m_dbInitialRate
LongNatural	m_nDates

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Constructor & Destructor Documentation

GaussianProcess::GaussianProcess (  const valarray< LongInteger >  schedule, const LongNatural &  nDates, const Real &  initialRate, const valarray< Real >  drift, const Real &  meanReversionSpeed, Real &  vol )

Default constructor. Parameters: schedule:  Start Date of the drift nDates:  Number of dates to simulate the path initialRate:  pyieldCurve:  Yield Curve to compute the spot rate between each date pvolsurface:  Volatility Surface to compute the forward volatility between each date Strike:  Strike of the option, used to compute the colatility (function of the strike) Definition at line 7 of file GaussianProcess.cpp. References LongNatural, m_dbInitialRate, m_dbMeanReversionSpeed, m_dbVol, m_vDates, m_vDrift, m_vStepSize, Natural, and Real.

GaussianProcess::GaussianProcess (  const valarray< LongInteger >  schedule, const LongNatural &  nDates, const Real &  initialRate, const valarray< Real >  drift, const Real &  meanReversionSpeed, volsurface *  vol, Real  strike )

Definition at line 28 of file GaussianProcess.cpp. References _strike, LongNatural, m_dbInitialRate, m_dbMeanReversionSpeed, m_dbVol, m_vDates, m_vDrift, m_vStepSize, Natural, and Real.

GaussianProcess::GaussianProcess (  void   )

Definition at line 52 of file GaussianProcess.cpp.

GaussianProcess::~GaussianProcess (   )

Definition at line 56 of file GaussianProcess.cpp.

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Member Function Documentation

valarray< Real > GaussianProcess::BuildPath (  valarray< Real >  gaussianShocks  )

Build the Path according to given gaussian shocks. Definition at line 60 of file GaussianProcess.cpp. References _strike, LongNatural, m_dbInitialRate, m_dbMeanReversionSpeed, m_dbVol, m_vDates, m_vDrift, Real, and volsurface::volatility(). Referenced by MCEngine::RunEngineAsianCall(), MCEngine::RunEngineAsianPut(), MCEngine::RunEngineBarrierCall(), MCEngine::RunEngineBarrierPut(), MCEngine::RunEngineCall(), MCEngine::RunEngineCappedCliquet(), MCEngine::RunEngineFlooredCliquet(), MCEngine::RunEnginePut(), MCEngine::RunEngineRevLookbackCall(), and MCEngine::RunEngineRevLookbackPut().

Real GaussianProcess::BuildTerminalPoint (  Real  gaussianShock  )

For a 1D, only one termial Point (non path dependant). Author: Yann Parameters: gaussianShock:  the shock that we'll get from the sample given drift, etc Definition at line 86 of file GaussianProcess.cpp. References m_dbInitialRate, m_dbVol, m_vDates, m_vDrift, and Real.

void GaussianProcess::GetStepIncrements (  valarray< Real >  stepIncrements  )

Return Step Increments. Definition at line 95 of file GaussianProcess.cpp. References LongNatural, and m_vStepSize. Referenced by mainmc().

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Member Data Documentation

Real GaussianProcess::_strike [private]

Definition at line 50 of file GaussianProcess.h. Referenced by BuildPath(), and GaussianProcess().

volsurface* GaussianProcess::_vol [private]

Definition at line 49 of file GaussianProcess.h.

Real GaussianProcess::m_dbInitialRate [private]

Definition at line 51 of file GaussianProcess.h. Referenced by BuildPath(), BuildTerminalPoint(), and GaussianProcess().

Real GaussianProcess::m_dbMeanReversionSpeed [private]

Definition at line 47 of file GaussianProcess.h. Referenced by BuildPath(), and GaussianProcess().

Real GaussianProcess::m_dbVol [private]

Definition at line 48 of file GaussianProcess.h. Referenced by BuildPath(), BuildTerminalPoint(), and GaussianProcess().

LongNatural GaussianProcess::m_nDates [private]

Definition at line 52 of file GaussianProcess.h.

valarray<LongInteger> GaussianProcess::m_vDates [private]

Definition at line 43 of file GaussianProcess.h. Referenced by BuildPath(), BuildTerminalPoint(), and GaussianProcess().

valarray<Real> GaussianProcess::m_vDrift [private]

Definition at line 44 of file GaussianProcess.h. Referenced by BuildPath(), BuildTerminalPoint(), and GaussianProcess().

valarray<Real> GaussianProcess::m_vStepSize [private]

Definition at line 46 of file GaussianProcess.h. Referenced by GaussianProcess(), and GetStepIncrements().

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The documentation for this class was generated from the following files:

• GaussianProcess.h
• GaussianProcess.cpp

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