| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2006 Banca Profilo S.p.A. |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file forwardmeasureprocess.hpp |
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| 21 | \brief forward-measure stochastic processes |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_forward_measure_processes_hpp |
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| 25 | #define quantlib_forward_measure_processes_hpp |
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| 26 | |
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| 27 | #include <ql/stochasticprocess.hpp> |
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| 28 | |
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| 29 | namespace QuantLib { |
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| 30 | |
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| 31 | //! forward-measure stochastic process |
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| 32 | /*! stochastic process whose dynamics are expressed in the forward |
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| 33 | measure. |
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| 34 | |
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| 35 | \ingroup processes |
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| 36 | */ |
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| 37 | class ForwardMeasureProcess : public StochasticProcess { |
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| 38 | public: |
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| 39 | virtual void setForwardMeasureTime(Time); |
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| 40 | Time getForwardMeasureTime() const; |
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| 41 | protected: |
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| 42 | ForwardMeasureProcess() = default; |
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| 43 | explicit ForwardMeasureProcess(Time T) : T_(T) {} |
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| 44 | explicit ForwardMeasureProcess( |
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| 45 | const ext::shared_ptr<discretization>&); |
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| 46 | Time T_; |
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| 47 | }; |
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| 48 | |
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| 49 | //! forward-measure 1-D stochastic process |
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| 50 | /*! 1-D stochastic process whose dynamics are expressed in the |
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| 51 | forward measure. |
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| 52 | |
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| 53 | \ingroup processes |
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| 54 | */ |
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| 55 | class ForwardMeasureProcess1D : public StochasticProcess1D { |
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| 56 | public: |
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| 57 | virtual void setForwardMeasureTime(Time); |
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| 58 | Time getForwardMeasureTime() const; |
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| 59 | protected: |
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| 60 | ForwardMeasureProcess1D() = default; |
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| 61 | explicit ForwardMeasureProcess1D(Time T) : T_(T) {} |
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| 62 | explicit ForwardMeasureProcess1D( |
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| 63 | const ext::shared_ptr<discretization>&); |
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| 64 | Time T_; |
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| 65 | }; |
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| 66 | |
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| 67 | } |
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| 68 | |
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| 69 | |
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| 70 | #endif |
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| 71 | |
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