CIR++ Model State Process.
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#include <qle/processes/crcirppstateprocess.hpp>
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enum | Discretization { BrigoAlfonsi
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| CrCirppStateProcess (CrCirpp *const model, CrCirppStateProcess::Discretization disc=CrCirppStateProcess::Discretization::BrigoAlfonsi) |
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Size | size () const override |
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Array | initialValues () const override |
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Array | drift (Time t, const Array &x) const override |
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Matrix | diffusion (Time t, const Array &x) const override |
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Array | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const override |
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const CrCirpp * | model () const |
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const CrCirppStateProcess::Discretization | discretization () |
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const CrCirpp * | model_ |
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const CrCirppStateProcess::Discretization | discretization_ |
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CIR++ Model State Process.
◆ size()