Class ForwardMeasureProcess

Namespace

NanoQL.Processes

Assembly

NanoQL.dll

A stochastic process whose dynamics are expressed in the forward measure of a time T.

public abstract class ForwardMeasureProcess : StochasticProcess

Inheritance

object

StochasticProcess

ForwardMeasureProcess

Derived

G2ForwardProcess

Inherited Members

StochasticProcess.discretization

StochasticProcess.InitialValues()

StochasticProcess.InitialValues(Span<double>)

StochasticProcess.Drift(double, Vector)

StochasticProcess.Diffusion(double, Vector)

StochasticProcess.Expectation(double, Vector, double)

StochasticProcess.StdDeviation(double, Vector, double)

StochasticProcess.Covariance(double, Vector, double)

StochasticProcess.Evolve(double, Vector, double, Vector)

StochasticProcess.Evolve(double, ReadOnlySpan<double>, double, ReadOnlySpan<double>, Span<double>)

StochasticProcess.Apply(Vector, Vector)

StochasticProcess.Time(Date)

StochasticProcess.Size

StochasticProcess.Factors

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

QuantLib's setForwardMeasureTime changes the process; here WithForwardMeasureTime(double) returns a copy at the new time, which a derived process overrides with its own type, rebuilding there any state of its own that reads the time. A process built without a forward measure time refuses to read one, where QuantLib's reads its uninitialized member: a divergence (the playbook's undefined-behaviour row).

An extension point, as in QuantLib: G2's forward process derives from it.

Constructors

ForwardMeasureProcess()

Initializes a new instance of the ForwardMeasureProcess class, with no forward measure time.

protected ForwardMeasureProcess()

ForwardMeasureProcess(StochasticProcessDiscretization)

Initializes a new instance of the ForwardMeasureProcess class with a discretization, with no forward measure time.

protected ForwardMeasureProcess(StochasticProcessDiscretization discretization)

Parameters

discretization StochasticProcessDiscretization

The discretization.

Exceptions

ArgumentNullException

discretization is null.

ForwardMeasureProcess(double)

Initializes a new instance of the ForwardMeasureProcess class at a forward measure time.

protected ForwardMeasureProcess(double forwardMeasureTime)

Parameters

forwardMeasureTime double

The forward measure time T.

Properties

ForwardMeasureTime

Gets the forward measure time T: QuantLib's getForwardMeasureTime.

public double ForwardMeasureTime { get; }

Property Value

double

Exceptions

NanoQLException

The process has no forward measure time.

Methods

WithForwardMeasureTime(double)

A copy of the process at another forward measure time: QuantLib's setForwardMeasureTime.

public virtual ForwardMeasureProcess WithForwardMeasureTime(double forwardMeasureTime)

Parameters

forwardMeasureTime double

The forward measure time T.

Returns

ForwardMeasureProcess

The copy; the receiver doesn't change.