| 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) 2006 Banca Profilo S.p.A. |
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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 g2process.hpp |
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| 21 | \brief G2 stochastic processes |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_g2_process_hpp |
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| 25 | #define quantlib_g2_process_hpp |
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| 26 | |
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| 27 | #include <ql/processes/forwardmeasureprocess.hpp> |
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| 28 | #include <ql/processes/ornsteinuhlenbeckprocess.hpp> |
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| 29 | |
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| 30 | namespace QuantLib { |
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| 31 | |
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| 32 | //! %G2 stochastic process |
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| 33 | /*! \ingroup processes */ |
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| 34 | class G2Process : public StochasticProcess { |
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| 35 | public: |
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| 36 | G2Process(Real a, Real sigma, Real b, Real eta, Real rho); |
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| 37 | //! \name StochasticProcess interface |
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| 38 | //@{ |
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| 39 | Size size() const override; |
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| 40 | Array initialValues() const override; |
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| 41 | Array drift(Time t, const Array& x) const override; |
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| 42 | Matrix diffusion(Time t, const Array& x) const override; |
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| 43 | Array expectation(Time t0, const Array& x0, Time dt) const override; |
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| 44 | Matrix stdDeviation(Time t0, const Array& x0, Time dt) const override; |
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| 45 | Matrix covariance(Time t0, const Array& x0, Time dt) const override; |
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| 46 | //@} |
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| 47 | Real x0() const; |
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| 48 | Real y0() const; |
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| 49 | Real a() const; |
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| 50 | Real sigma() const; |
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| 51 | Real b() const; |
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| 52 | Real eta() const; |
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| 53 | Real rho() const; |
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| 54 | private: |
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| 55 | Real x0_ = 0.0, y0_ = 0.0, a_, sigma_, b_, eta_, rho_; |
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| 56 | ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_; |
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| 57 | ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_; |
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| 58 | }; |
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| 59 | |
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| 60 | //! %Forward %G2 stochastic process |
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| 61 | /*! \ingroup processes */ |
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| 62 | class G2ForwardProcess : public ForwardMeasureProcess { |
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| 63 | public: |
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| 64 | G2ForwardProcess(Real a, Real sigma, Real b, Real eta, Real rho); |
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| 65 | //! \name StochasticProcess interface |
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| 66 | //@{ |
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| 67 | Size size() const override; |
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| 68 | Array initialValues() const override; |
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| 69 | Array drift(Time t, const Array& x) const override; |
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| 70 | Matrix diffusion(Time t, const Array& x) const override; |
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| 71 | Array expectation(Time t0, const Array& x0, Time dt) const override; |
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| 72 | Matrix stdDeviation(Time t0, const Array& x0, Time dt) const override; |
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| 73 | Matrix covariance(Time t0, const Array& x0, Time dt) const override; |
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| 74 | //@} |
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| 75 | protected: |
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| 76 | Real x0_ = 0.0, y0_ = 0.0, a_, sigma_, b_, eta_, rho_; |
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| 77 | ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_; |
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| 78 | ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_; |
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| 79 | Real xForwardDrift(Time t, Time T) const; |
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| 80 | Real yForwardDrift(Time t, Time T) const; |
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| 81 | Real Mx_T(Real s, Real t, Real T) const; |
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| 82 | Real My_T(Real s, Real t, Real T) const; |
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| 83 | }; |
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| 84 | |
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| 85 | } |
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| 86 | |
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| 87 | |
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| 88 | #endif |
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| 89 | |
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| 90 | |
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