template class xf::fintech::StochasticProcess1D¶

#include "stochastic_process.hpp"

Overview¶

Stochastic process for CIR and ECIR models to simulate rate volatility.

Parameters:

DT	data type supported include float and double

template <typename DT = double>
class StochasticProcess1D

void init (
    DT speed,
    DT vola,
    DT x0,
    DT level
    )

initialize parameters

Parameters:

speed	Spreads on interest rates.
vola	The overall level of volatility.
x0	The initial value of the state variable.
level	The initial value of level.

DT expectation (
    DT t0,
    DT x0,
    DT dt
    )

the expertation E of the process

Parameters:

t0	the time at the beginning of processing
x0	the state of current value
dt	the step of processing

Returns:

the result of expectation

DT variance (
    DT t0,
    DT x0,
    DT dt
    )

the variance of the process

Parameters:

t0	the time at the beginning of processing
x0	the state of current value
dt	the step of processing

Returns:

the result of variance