Class TimeChangedLevyProcessFactory

Class Documentation

class TimeChangedLevyProcessFactory

Factory class for creating instances of TimeChangedLevyProcess.

Provides static methods to construct TimeChangedLevyProcess objects based on component specifications or full string descriptions.

Public Static Functions

static std::shared_ptr<TimeChangedLevyProcess> create_time_changed_levy_process(const std::vector<std::string> &levy_components, const std::string &time_change)

Creates a TimeChangedLevyProcess from a list of Levy process components and a time change.

See also

LevyProcessFactory The complete list of supported Levy processes is specified in LevyProcessFactory class

See also

TimeChangeProcessFactory The complete list of supported time change processes is specified in TimeChangeProcessFactory class

Parameters:

  • levy_components – A vector of strings representing the names of Levy process components (e.g., “mt”, “vg”).

  • time_change – A string specifying the time change process to be used (e.g., “cir”, “lcir”, “g”).

Returns:

A shared pointer to a new TimeChangedLevyProcess instance.

static std::shared_ptr<TimeChangedLevyProcess> create_time_changed_levy_process(const std::string &specification)

Creates a TimeChangedLevyProcess based on a single string specification.

This can be used to parse compact specifications like “lcir(mt+bm)”, where “lcir” indicates the time change (e.g., log-CIR), and “mt+bm” represents the combined Levy components.

See also

LevyProcessFactory The complete list of supported Levy processes is specified in LevyProcessFactory class

See also

TimeChangeProcessFactory The complete list of supported time change processes is specified in TimeChangeProcessFactory class

Parameters:

specification – A string specification of the process (e.g., “g(bm)”, “lcir(mt+bm)”).

Returns:

A shared pointer to a new TimeChangedLevyProcess instance.