- QuantLib
- KlugeExtOUProcess
#include <ql/experimental/processes/klugeextouprocess.hpp>

Public Member Functions | |
| KlugeExtOUProcess (Real rho, const boost::shared_ptr< ExtOUWithJumpsProcess > &kluge, const boost::shared_ptr< ExtendedOrnsteinUhlenbeckProcess > &extOU) | |
| Size | size () const |
| returns the number of dimensions of the stochastic process | |
| Size | factors () const |
| returns the number of independent factors of the process | |
| Disposable< Array > | initialValues () const |
| returns the initial values of the state variables | |
| Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. | |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
|
boost::shared_ptr < ExtOUWithJumpsProcess > | getKlugeProcess () const |
|
boost::shared_ptr < ExtendedOrnsteinUhlenbeckProcess > | getExtOUProcess () const |
| Real | rho () const |
This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by
References: B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing swing options in electricity markets, http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
returns the asset value after a time interval
according to the given discretization. By default, it returns
where
is the expectation and
the standard deviation.
Reimplemented from StochasticProcess.