Inheritance diagram for CrossAssetStateProcess::ExactDiscretization:

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_

Public Member Functions

Protected Member Functions