Public Member Functions | |
ExactDiscretization (const CrossAssetModel *const model, SalvagingAlgorithm::Type salvaging=SalvagingAlgorithm::Spectral) | |
virtual Array | drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
virtual Matrix | diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
virtual Matrix | covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
void | resetCache (const Size timeSteps) const |
Protected Member Functions | |
virtual Array | driftImpl1 (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
virtual Array | driftImpl2 (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
virtual Matrix | covarianceImpl (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
Protected Attributes | |
const CrossAssetModel *const | model_ |
SalvagingAlgorithm::Type | salvaging_ |
bool | cacheNotReady_m_ = true |
bool | cacheNotReady_d_ = true |
bool | cacheNotReady_v_ = true |
Size | timeStepsToCache_m_ = 0 |
Size | timeStepsToCache_d_ = 0 |
Size | timeStepsToCache_v_ = 0 |
Size | timeStepCache_m_ = 0 |
Size | timeStepCache_d_ = 0 |
Size | timeStepCache_v_ = 0 |
std::vector< Array > | cache_m_ |
std::vector< Matrix > | cache_v_ |
std::vector< Matrix > | cache_d_ |