| 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) 2001, 2002, 2003 Sadruddin Rejeb |
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| 5 | Copyright (C) 2003 Ferdinando Ametrano |
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| 6 | Copyright (C) 2004, 2005, 2006, 2007 StatPro Italia srl |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | #include <ql/processes/ornsteinuhlenbeckprocess.hpp> |
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| 23 | |
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| 24 | namespace QuantLib { |
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| 25 | |
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| 26 | OrnsteinUhlenbeckProcess::OrnsteinUhlenbeckProcess(Real speed, |
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| 27 | Volatility vol, |
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| 28 | Real x0, |
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| 29 | Real level) |
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| 30 | : x0_(x0), speed_(speed), level_(level), volatility_(vol) { |
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| 31 | QL_REQUIRE(volatility_ >= 0.0, "negative volatility given" ); |
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| 32 | } |
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| 33 | |
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| 34 | Real OrnsteinUhlenbeckProcess::variance(Time, Real, Time dt) const { |
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| 35 | if (std::fabs(x: speed_) < std::sqrt(QL_EPSILON)) { |
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| 36 | // algebraic limit for small speed |
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| 37 | return volatility_*volatility_*dt; |
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| 38 | } else { |
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| 39 | return 0.5*volatility_*volatility_/speed_* |
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| 40 | (1.0 - std::exp(x: -2.0*speed_*dt)); |
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| 41 | } |
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| 42 | } |
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| 43 | |
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| 44 | } |
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| 45 | |
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| 46 | |
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