1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Banca Profilo S.p.A.
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file g2process.hpp
21 \brief G2 stochastic processes
22*/
23
24#ifndef quantlib_g2_process_hpp
25#define quantlib_g2_process_hpp
26
27#include <ql/processes/forwardmeasureprocess.hpp>
28#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
29
30namespace QuantLib {
31
32 //! %G2 stochastic process
33 /*! \ingroup processes */
34 class G2Process : public StochasticProcess {
35 public:
36 G2Process(Real a, Real sigma, Real b, Real eta, Real rho);
37 //! \name StochasticProcess interface
38 //@{
39 Size size() const override;
40 Array initialValues() const override;
41 Array drift(Time t, const Array& x) const override;
42 Matrix diffusion(Time t, const Array& x) const override;
43 Array expectation(Time t0, const Array& x0, Time dt) const override;
44 Matrix stdDeviation(Time t0, const Array& x0, Time dt) const override;
45 Matrix covariance(Time t0, const Array& x0, Time dt) const override;
46 //@}
47 Real x0() const;
48 Real y0() const;
49 Real a() const;
50 Real sigma() const;
51 Real b() const;
52 Real eta() const;
53 Real rho() const;
54 private:
55 Real x0_ = 0.0, y0_ = 0.0, a_, sigma_, b_, eta_, rho_;
56 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_;
57 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_;
58 };
59
60 //! %Forward %G2 stochastic process
61 /*! \ingroup processes */
62 class G2ForwardProcess : public ForwardMeasureProcess {
63 public:
64 G2ForwardProcess(Real a, Real sigma, Real b, Real eta, Real rho);
65 //! \name StochasticProcess interface
66 //@{
67 Size size() const override;
68 Array initialValues() const override;
69 Array drift(Time t, const Array& x) const override;
70 Matrix diffusion(Time t, const Array& x) const override;
71 Array expectation(Time t0, const Array& x0, Time dt) const override;
72 Matrix stdDeviation(Time t0, const Array& x0, Time dt) const override;
73 Matrix covariance(Time t0, const Array& x0, Time dt) const override;
74 //@}
75 protected:
76 Real x0_ = 0.0, y0_ = 0.0, a_, sigma_, b_, eta_, rho_;
77 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_;
78 ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_;
79 Real xForwardDrift(Time t, Time T) const;
80 Real yForwardDrift(Time t, Time T) const;
81 Real Mx_T(Real s, Real t, Real T) const;
82 Real My_T(Real s, Real t, Real T) const;
83 };
84
85}
86
87
88#endif
89
90

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source code of quantlib/ql/processes/g2process.hpp