| 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) 2008 Klaus Spanderen |
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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 | #include <ql/processes/batesprocess.hpp> |
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| 21 | #include <ql/math/distributions/normaldistribution.hpp> |
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| 22 | #include <ql/math/distributions/poissondistribution.hpp> |
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| 23 | |
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| 24 | |
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| 25 | namespace QuantLib { |
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| 26 | BatesProcess::BatesProcess( |
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| 27 | const Handle<YieldTermStructure>& riskFreeRate, |
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| 28 | const Handle<YieldTermStructure>& dividendYield, |
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| 29 | const Handle<Quote>& s0, |
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| 30 | Real v0, Real kappa, |
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| 31 | Real theta, Real sigma, Real rho, |
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| 32 | Real lambda, Real nu, Real delta, |
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| 33 | HestonProcess::Discretization d) |
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| 34 | : HestonProcess(riskFreeRate, dividendYield, |
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| 35 | s0, v0, kappa, theta, sigma, rho, d), |
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| 36 | lambda_(lambda), delta_(delta), nu_(nu), |
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| 37 | m_(std::exp(x: nu+0.5*delta*delta)-1) { |
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| 38 | } |
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| 39 | |
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| 40 | Array BatesProcess::drift(Time t, const Array& x) const { |
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| 41 | Array retVal = HestonProcess::drift(t, x); |
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| 42 | retVal[0] -= lambda_*m_; |
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| 43 | return retVal; |
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| 44 | } |
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| 45 | |
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| 46 | Array BatesProcess::evolve(Time t0, const Array& x0, |
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| 47 | Time dt, const Array& dw) const { |
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| 48 | |
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| 49 | const Size hestonFactors = HestonProcess::factors(); |
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| 50 | |
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| 51 | Real p = cumNormalDist_(dw[hestonFactors]); |
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| 52 | if (p<0.0) |
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| 53 | p = 0.0; |
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| 54 | else if (p >= 1.0) |
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| 55 | p = 1.0-QL_EPSILON; |
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| 56 | |
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| 57 | const Real n = InverseCumulativePoisson(lambda_*dt)(p); |
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| 58 | Array retVal = HestonProcess::evolve(t0, x0, dt, dw); |
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| 59 | retVal[0] *= |
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| 60 | std::exp(x: -lambda_*m_*dt + nu_*n+delta_*std::sqrt(x: n)*dw[hestonFactors+1]); |
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| 61 | |
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| 62 | return retVal; |
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| 63 | } |
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| 64 | |
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| 65 | Size BatesProcess::factors() const { |
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| 66 | return HestonProcess::factors() + 2; |
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| 67 | } |
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| 68 | |
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| 69 | Real BatesProcess::lambda() const { |
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| 70 | return lambda_; |
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| 71 | } |
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| 72 | |
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| 73 | Real BatesProcess::nu() const { |
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| 74 | return nu_; |
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| 75 | } |
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| 76 | |
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| 77 | Real BatesProcess::delta() const { |
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| 78 | return delta_; |
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| 79 | } |
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| 80 | } |
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| 81 | |
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