CIR++ Model State Process. More...

#include <qle/processes/crcirppstateprocess.hpp>

Inheritance diagram for CrCirppStateProcess:

Public Types
enum	Discretization { BrigoAlfonsi }

Public Member Functions
	CrCirppStateProcess (CrCirpp *const model, CrCirppStateProcess::Discretization disc=CrCirppStateProcess::Discretization::BrigoAlfonsi)

Size	size () 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

const CrCirpp *	model () const

const CrCirppStateProcess::Discretization	discretization ()

Protected Attributes
const CrCirpp *	model_

const CrCirppStateProcess::Discretization	discretization_

Detailed Description

CIR++ Model State Process.

Member Function Documentation

Size size ( ) const

override