Cross Asset Model State Process. More...

#include <qle/processes/crossassetstateprocess.hpp>

Inheritance diagram for CrossAssetStateProcess:

Public Member Functions
	CrossAssetStateProcess (const CrossAssetModel *const model)

Size	size () const override

Size	factors () 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

void	resetCache (const Size timeSteps) const

Protected Member Functions
virtual Matrix	diffusionOnCorrelatedBrownians (Time t, const Array &x) const

virtual Matrix	diffusionOnCorrelatedBrowniansImpl (Time t, const Array &x) const

void	updateSqrtCorrelation () const

Protected Attributes
const CrossAssetModel *const	model_

std::vector< boost::shared_ptr< StochasticProcess > >	crCirpp_

Size	cirppCount_

Matrix	sqrtCorrelation_

bool	cacheNotReady_m_ = true

bool	cacheNotReady_d_ = true

Size	timeStepsToCache_m_ = 0

Size	timeStepCache_m_ = 0

Size	timeStepsToCache_d_ = 0

Size	timeStepCache_d_ = 0

std::vector< Array >	cache_m_

std::vector< Matrix >	cache_d_

Detailed Description

Cross Asset Model State Process.

Member Function Documentation

Size size ( ) const

override