Re: [Quantlib-users] Poisson process
Locked
Re: [Quantlib-users] Poisson process
 
|
Thanks Dima and Dominik,
(1) If you don't mind a comment by a newbie: I think the documentation for StochasticProcess and StochasticProcess1D is misleading. The Detailed Description does not mention the possibility of including jump processes in derived classes. (2) Is there any point in implementing a PoissonProcess class? (3) The reason for my original question was that I was looking for the Variance Gamma process. Is there some plan to implement this? James ----- Original Message ---- From: Dominik Holenstein <[hidden email]> To: james hirschorn <[hidden email]> Sent: Mon, July 19, 2010 2:22:38 AM Subject: Re: [Quantlib-users] Poisson process Poisson distribution is here: Quantlib\QuantLib-1.0.1\ql\math\distributions\poissondistribution.hpp Used here: Quantlib\QuantLib-1.0.1\ql\pricingengines\vanilla\batesengine.hpp/batesengine.cpp Quantlib\QuantLib-1.0.1\ql\processes\batesprocess.hpp/batesprocess.cpp Quantlib\QuantLib-1.0.1\ql\math\randomnumbers\rngtraits.hpp Dominik On Mon, Jul 19, 2010 at 2:43 AM, james hirschorn <[hidden email]> wrote: > Looking at the documentation, it appears that QuantLib only implements > stochastic processes based on Brownian motion, i.e. Ito processes. > > Is this correct? There is no Poisson process for example? > > Thanks, > J > > > > > ------------------------------------------------------------------------------ > This SF.net email is sponsored by Sprint > What will you do first with EVO, the first 4G phone? > Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ------------------------------------------------------------------------------ This SF.net email is sponsored by Sprint What will you do first with EVO, the first 4G phone? Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
|
|
Why not just have a gamma process. it will solve both the issues.
VG Process can be coded via difference of two gamma processes Also it's more generic compared to PoissonProcess Am also missing processes which allow fat tailed distributions in Quantlib On 7/19/10 9:09 PM, james hirschorn wrote: > Thanks Dima and Dominik, > > (1) If you don't mind a comment by a newbie: I think the documentation for > StochasticProcess and StochasticProcess1D is misleading. The Detailed > Description does not mention the possibility of including jump processes in > derived classes. > > (2) Is there any point in implementing a PoissonProcess class? > > (3) The reason for my original question was that I was looking for the Variance > Gamma process. Is there some plan to implement this? > > James > > > ----- Original Message ---- > From: Dominik Holenstein<[hidden email]> > To: james hirschorn<[hidden email]> > Sent: Mon, July 19, 2010 2:22:38 AM > Subject: Re: [Quantlib-users] Poisson process > > Poisson distribution is here: > Quantlib\QuantLib-1.0.1\ql\math\distributions\poissondistribution.hpp > > Used here: > Quantlib\QuantLib-1.0.1\ql\pricingengines\vanilla\batesengine.hpp/batesengine.cpp > > Quantlib\QuantLib-1.0.1\ql\processes\batesprocess.hpp/batesprocess.cpp > Quantlib\QuantLib-1.0.1\ql\math\randomnumbers\rngtraits.hpp > > Dominik > > > > > On Mon, Jul 19, 2010 at 2:43 AM, james hirschorn<[hidden email]> wrote: >> Looking at the documentation, it appears that QuantLib only implements >> stochastic processes based on Brownian motion, i.e. Ito processes. >> >> Is this correct? There is no Poisson process for example? >> >> Thanks, >> J >> >> >> >> >> ------------------------------------------------------------------------------ >> This SF.net email is sponsored by Sprint >> What will you do first with EVO, the first 4G phone? >> Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > > > > > ------------------------------------------------------------------------------ > This SF.net email is sponsored by Sprint > What will you do first with EVO, the first 4G phone? > Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > -- Regards, Animesh Saxena (http://quantanalysis.wordpress.com) ------------------------------------------------------------------------------ This SF.net email is sponsored by Sprint What will you do first with EVO, the first 4G phone? Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
|
|
Yes, a Gamma process would be good to have, not just for VG.
Maybe the best way to implement VG is to use Brownian motion with a random time change given by the gamma process. I'm not sure of the pros and cons versus taking the difference of two gamma processes, or of approximating VG by a compound Poisson process. James ----- Original Message ---- From: animesh saxena <[hidden email]> To: james hirschorn <[hidden email]> Cc: [hidden email]; [hidden email] Sent: Mon, July 19, 2010 7:22:54 PM Subject: Re: [Quantlib-dev] [Quantlib-users] Poisson process Why not just have a gamma process. it will solve both the issues. VG Process can be coded via difference of two gamma processes Also it's more generic compared to PoissonProcess Am also missing processes which allow fat tailed distributions in Quantlib On 7/19/10 9:09 PM, james hirschorn wrote: > Thanks Dima and Dominik, > > (1) If you don't mind a comment by a newbie: I think the documentation for > StochasticProcess and StochasticProcess1D is misleading. The Detailed > Description does not mention the possibility of including jump processes in > derived classes. > > (2) Is there any point in implementing a PoissonProcess class? > > (3) The reason for my original question was that I was looking for the > Gamma process. Is there some plan to implement this? > > James > > > ----- Original Message ---- > From: Dominik Holenstein<[hidden email]> > To: james hirschorn<[hidden email]> > Sent: Mon, July 19, 2010 2:22:38 AM > Subject: Re: [Quantlib-users] Poisson process > > Poisson distribution is here: > Quantlib\QuantLib-1.0.1\ql\math\distributions\poissondistribution.hpp > > Used here: >Quantlib\QuantLib-1.0.1\ql\pricingengines\vanilla\batesengine.hpp/batesengine.cpp >p > > Quantlib\QuantLib-1.0.1\ql\processes\batesprocess.hpp/batesprocess.cpp > Quantlib\QuantLib-1.0.1\ql\math\randomnumbers\rngtraits.hpp > > Dominik > > > > > On Mon, Jul 19, 2010 at 2:43 AM, james hirschorn<[hidden email]> >> Looking at the documentation, it appears that QuantLib only implements >> stochastic processes based on Brownian motion, i.e. Ito processes. >> >> Is this correct? There is no Poisson process for example? >> >> Thanks, >> J >> >> >> >> >> >> This SF.net email is sponsored by Sprint >> What will you do first with EVO, the first 4G phone? >> Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > > > > > ------------------------------------------------------------------------------ > This SF.net email is sponsored by Sprint > What will you do first with EVO, the first 4G phone? > Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > -- Regards, Animesh Saxena (http://quantanalysis.wordpress.com) ------------------------------------------------------------------------------ This SF.net email is sponsored by Sprint What will you do first with EVO, the first 4G phone? Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
«
Return to quantlib-dev
|
1 view|%1 views
| Free forum by Nabble | Edit this page |