| 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) 2003 Ferdinando Ametrano |
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| 5 | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
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| 6 | Copyright (C) 2004, 2005 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 | /*! \file squarerootprocess.hpp |
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| 23 | \brief square-root process |
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| 24 | */ |
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| 25 | |
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| 26 | #ifndef quantlib_square_root_process_hpp |
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| 27 | #define quantlib_square_root_process_hpp |
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| 28 | |
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| 29 | #include <ql/stochasticprocess.hpp> |
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| 30 | #include <ql/processes/eulerdiscretization.hpp> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | //! Square-root process class |
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| 35 | /*! This class describes a square-root process governed by |
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| 36 | \f[ |
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| 37 | dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t. |
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| 38 | \f] |
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| 39 | |
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| 40 | \ingroup processes |
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| 41 | */ |
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| 42 | class SquareRootProcess : public StochasticProcess1D { |
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| 43 | public: |
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| 44 | SquareRootProcess( |
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| 45 | Real b, Real a, Volatility sigma, Real x0 = 0.0, |
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| 46 | const ext::shared_ptr<discretization>& d = |
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| 47 | ext::shared_ptr<discretization>(new EulerDiscretization)); |
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| 48 | //! \name StochasticProcess 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 x) const override; |
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| 53 | //@} |
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| 54 | |
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| 55 | Real a() const { return speed_; } |
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| 56 | Real b() const { return mean_; } |
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| 57 | Real sigma() const { return volatility_; } |
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| 58 | private: |
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| 59 | Real x0_, mean_, speed_; |
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| 60 | Volatility volatility_; |
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| 61 | }; |
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| 62 | |
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| 63 | } |
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| 64 | |
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| 65 | |
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| 66 | #endif |
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| 67 | |
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