| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2013, 2015 Peter Caspers |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file gsrprocess.hpp |
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| 21 | \brief GSR model process with piecewise volatilities and mean reversions, |
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| 22 | the dynamic is expressed in some T-forward measure. |
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| 23 | If a single value for the mean reversion is provided, it is assumed |
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| 24 | constant. Results are cached for performance reasons, so if parameters |
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| 25 | change you need to call flushCache() to avoid inconsistent results. |
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| 26 | For a derivation of the formulas, see http://ssrn.com/abstract=2246013 |
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| 27 | */ |
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| 28 | |
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| 29 | #ifndef quantlib_gsr_process_hpp |
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| 30 | #define quantlib_gsr_process_hpp |
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| 31 | |
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| 32 | #include <ql/processes/forwardmeasureprocess.hpp> |
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| 33 | #include <ql/processes/gsrprocesscore.hpp> |
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| 34 | #include <ql/time/daycounter.hpp> |
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| 35 | |
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| 36 | namespace QuantLib { |
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| 37 | |
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| 38 | //! GSR stochastic process |
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| 39 | /*! \ingroup processes */ |
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| 40 | class GsrProcess : public ForwardMeasureProcess1D { |
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| 41 | public: |
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| 42 | GsrProcess(const Array& times, |
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| 43 | const Array& vols, |
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| 44 | const Array& reversions, |
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| 45 | Real T = 60.0, |
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| 46 | const Date& referenceDate = Null<Date>(), |
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| 47 | DayCounter dc = DayCounter()); |
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| 48 | //! \name StochasticProcess1D interface |
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| 49 | //@{ |
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| 50 | Real x0() const override; |
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| 51 | Real drift(Time t, Real x) const override; |
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| 52 | Real diffusion(Time t, Real) const override; |
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| 53 | Real expectation(Time t0, Real x0, Time dt) const override; |
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| 54 | Real stdDeviation(Time t0, Real x0, Time dt) const override; |
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| 55 | Real variance(Time t0, Real, Time dt) const override; |
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| 56 | Real time(const Date& d) const override; |
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| 57 | //@} |
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| 58 | //! \name ForwardMeasureProcess1D interface |
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| 59 | void setForwardMeasureTime(Time t) override; |
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| 60 | //@} |
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| 61 | //! additional inspectors |
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| 62 | Real sigma(Time t) const; |
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| 63 | Real reversion(Time t) const; |
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| 64 | Real y(Time t) const; |
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| 65 | Real G(Time t, Time T, Real x) const; |
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| 66 | //! reset cache |
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| 67 | void flushCache() const; |
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| 68 | |
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| 69 | private: |
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| 70 | void checkT(Time t) const; |
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| 71 | const detail::GsrProcessCore core_; |
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| 72 | Date referenceDate_; |
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| 73 | DayCounter dc_; |
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| 74 | }; |
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| 75 | |
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| 76 | // inline definitions |
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| 77 | |
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| 78 | inline void GsrProcess::setForwardMeasureTime(Time t) { |
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| 79 | flushCache(); |
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| 80 | ForwardMeasureProcess1D::setForwardMeasureTime(t); |
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| 81 | } |
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| 82 | |
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| 83 | inline void GsrProcess::flushCache() const { |
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| 84 | core_.flushCache(); |
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| 85 | } |
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| 86 | |
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| 87 | } // namesapce QuantLib |
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| 88 | |
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| 89 | #endif |
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| 90 | |
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