Covariation Class Reference

Covariation process. More...

Inheritance diagram for Covariation:

Public Member Functions

 Covariation (StochasticProcess *x, StochasticProcess *y, string name="", const string &type="Covariation Process")
 Construct. More...
 ~Covariation ()
void prepareNextState ()
 Calculate next value. More...
- Public Member Functions inherited from StochasticProcess
 StochasticProcess (class Time *time, const string &name="", const string &type="Stochastic")
virtual ~StochasticProcess ()
virtual void proceedToNextState ()
 Proceed one time step. More...
bool isNextStatePrepared ()
virtual double getIncrement ()
 Returns the increment. More...
virtual double getCurrentValue ()
 Returns the value of the process. More...
virtual double getNextValue ()
 Returns the next value of the process. More...
virtual void setNextValue (double d)
 Set the next value of the process. More...
virtual void setCurrentValue (double d)
 Set the current value of the process. More...
void setDescription (string s)
 Set stochastic description.
virtual void init ()
 Initialise time-dependent values.
string getDescription ()
 Get the name. More...
- Public Member Functions inherited from Parametric
string getType () const
 Type of object.
string getName () const
 Name of object.
void setName (const string &name)
 Name of object.
string getConfiguration () const
 Returns the configuration of the object. More...
string getAllParameters () const
 String with all parameter settings.
void addParameter (const string &name)
 Add a parameter. More...
void rmParameter (const string &name)
 Remove a parameter. More...
virtual void setParameter (const string &name, const string &value)
 Set parameter. More...
virtual string getParameter (const string &name) const
 Get parameter. More...
- Public Member Functions inherited from TimeDependent
 TimeDependent (class Time *time)
 Construct. More...
virtual class TimegetTime () const
 Return pointer to the time object.
- Public Member Functions inherited from Physical
 Physical ()
 Physical (const Physical &)
 Physical (string name)
 Physical (string name, string unitPrefix, string unitSymbol)
 Physical (string name, Unit unit)
virtual string getPhysicalDescription ()
 Returns the physical description. More...
virtual string getUnitName ()
 Returns the unit name.
virtual string getUnitSymbol ()
 Returns the unit name.
virtual void setPhysicalDescription (string name)
 Set the name. Same as setDescription(). More...
virtual void setUnit (Unit u)
 Set the unit.
virtual void setUnitPrefix (int n)
 Set unit prefix. More...
virtual Unit getUnit () const
 Retrieve the unit.

Additional Inherited Members

- Protected Member Functions inherited from Parametric
 Parametric (const string &name, const string &type)
 Create object of type and name.
virtual ~Parametric ()
 Destroy object.
- Protected Attributes inherited from StochasticProcess
double stochCurrentValue
 the current value
double stochNextValue
 the next value (direct future)
bool stochNextStateIsPrepared
 whether prepareNextState() was successful
string stochDescription
 the name of the quantity

Detailed Description

Covariation process.

The covariation process of two stochastic processes $X_t$ and $Y_t$ is defined as

\[ \left[X,Y\right]_t = \int X_t dY_t + \int Y_t dX_t - X_tY_t. \]

For deterministic processes this equals zero. The mean of this process is zero, if both processes $X_t$ and $Y_t$ are uncorrelated. The mean can be tested using a ProcessEstimator. A covariation process can be used as integrator in differential equations. The Covariation class estimates the covariation process numerically, by using $\left[X,Y\right]_t = \int dX_t dY_t $.

Constructor & Destructor Documentation

Covariation::Covariation ( StochasticProcess x,
StochasticProcess y,
string  name = "",
const string &  type = "Covariation Process" 


This constructs a covariation prcoess of thwo stochastic processes. The resulting process is active by default, but can be set passive.

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Member Function Documentation

void Covariation::prepareNextState ( )

Calculate next value.

If the process is active, this is called automatically. If it is passive, call proceedToNextState() first, and then prepareNextState(), to complete a full step..

Reimplemented from StochasticProcess.

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