| 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 | #include <ql/processes/gsrprocess.hpp> |
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| 21 | #include <cmath> |
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| 22 | #include <utility> |
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| 23 | |
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| 24 | namespace QuantLib { |
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| 25 | |
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| 26 | GsrProcess::GsrProcess(const Array& times, |
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| 27 | const Array& vols, |
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| 28 | const Array& reversions, |
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| 29 | const Real T, |
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| 30 | const Date& referenceDate, |
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| 31 | DayCounter dc) |
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| 32 | : ForwardMeasureProcess1D(T), core_(times, vols, reversions, T), referenceDate_(referenceDate), |
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| 33 | dc_(std::move(dc)) { |
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| 34 | flushCache(); |
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| 35 | } |
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| 36 | |
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| 37 | void GsrProcess::checkT(const Time t) const { |
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| 38 | QL_REQUIRE(t <= getForwardMeasureTime() && t >= 0.0, |
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| 39 | "t (" << t |
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| 40 | << ") must not be greater than forward measure time (" |
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| 41 | << getForwardMeasureTime() << ") and non-negative" ); |
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| 42 | } |
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| 43 | |
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| 44 | Real GsrProcess::time(const Date &d) const { |
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| 45 | QL_REQUIRE( |
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| 46 | referenceDate_ != Null<Date>() && dc_ != DayCounter(), |
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| 47 | "time can not be computed without reference date and day counter" ); |
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| 48 | return dc_.yearFraction(d1: referenceDate_, d2: d); |
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| 49 | } |
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| 50 | |
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| 51 | Real GsrProcess::x0() const { return 0.0; } |
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| 52 | |
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| 53 | Real GsrProcess::drift(Time t, Real x) const { |
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| 54 | return core_.y(t) - |
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| 55 | core_.G(t, w: getForwardMeasureTime()) * sigma(t) * sigma(t) - |
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| 56 | reversion(t) * x; |
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| 57 | } |
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| 58 | |
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| 59 | Real GsrProcess::diffusion(Time t, Real) const { |
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| 60 | checkT(t); |
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| 61 | return sigma(t); |
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| 62 | } |
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| 63 | |
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| 64 | Real GsrProcess::expectation(Time w, Real xw, Time dt) const { |
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| 65 | checkT(t: w + dt); |
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| 66 | return core_.expectation_x0dep_part(w, xw, dt) + |
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| 67 | core_.expectation_rn_part(w, dt) + |
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| 68 | core_.expectation_tf_part(w, dt); |
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| 69 | } |
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| 70 | |
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| 71 | |
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| 72 | |
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| 73 | Real GsrProcess::stdDeviation(Time t0, Real x0, Time dt) const { |
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| 74 | return std::sqrt(x: variance(t0, x0, dt)); |
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| 75 | } |
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| 76 | |
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| 77 | Real GsrProcess::variance(Time w, Real, Time dt) const { |
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| 78 | checkT(t: w + dt); |
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| 79 | return core_.variance(w,dt); |
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| 80 | } |
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| 81 | |
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| 82 | Real GsrProcess::sigma(Time t) const { return core_.sigma(t); } |
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| 83 | |
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| 84 | Real GsrProcess::reversion(Time t) const { return core_.reversion(t); } |
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| 85 | |
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| 86 | Real GsrProcess::y(Time t) const { |
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| 87 | checkT(t); |
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| 88 | return core_.y(t); |
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| 89 | } |
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| 90 | |
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| 91 | Real GsrProcess::G(Time t, Time w, Real) const { |
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| 92 | QL_REQUIRE(w >= t, "G(t,w) should be called with w (" |
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| 93 | << w << ") not lesser than t (" << t << ")" ); |
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| 94 | QL_REQUIRE(t >= 0.0 && w <= getForwardMeasureTime(), |
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| 95 | "G(t,w) should be called with (t,w)=(" |
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| 96 | << t << "," << w << ") in Range [0," |
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| 97 | << getForwardMeasureTime() << "]." ); |
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| 98 | |
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| 99 | return core_.G(t,w); |
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| 100 | } |
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| 101 | |
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| 102 | |
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| 103 | } |
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| 104 | |
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