Class CompositeStochasticProcessFactory

• Defined in File composite_stochastic_process_factory.hpp

Class Documentation

class CompositeStochasticProcessFactory

Factory class for creating composite stochastic processes from string specifications.

This factory provides a static method to create complex time-changed Lévy processes based on a textual specification. Each term in the specification corresponds to a stochastic process, and multiple processes can be combined using the + operator.

Example specification: "lcir(mt+bm) + lcir(cgmy) + kou"

• This creates a composite process consisting of:

  1. An LCIR time-changed Merton plus BrownianMotion process.

  2. An LCIR time-changed CGMY process.

  3. A Kou process.

Public Static Functions

static std::shared_ptr<CompositeStochasticProcess> create_composite_stochastic_process(const std::string &specification)

Create a CompositeStochasticProcess from a string specification.

Parameters:

specification – A textual specification describing the composite process. The format follows a functional expression with nested components, such as "lcir(mt+bm)+kou".

Returns:

A shared pointer to the constructed CompositeStochasticProcess.