| 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) 2005 Klaus Spanderen |
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| 5 | Copyright (C) 2005 StatPro Italia srl |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | /*! \file stochasticprocessarray.hpp |
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| 22 | \brief Array of correlated 1-D stochastic processes |
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| 23 | */ |
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| 24 | |
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| 25 | #ifndef quantlib_stochastic_process_array_hpp |
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| 26 | #define quantlib_stochastic_process_array_hpp |
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| 27 | |
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| 28 | #include <ql/stochasticprocess.hpp> |
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| 29 | #include <vector> |
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| 30 | |
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| 31 | namespace QuantLib { |
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| 32 | |
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| 33 | //! %Array of correlated 1-D stochastic processes |
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| 34 | /*! \ingroup processes */ |
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| 35 | class StochasticProcessArray : public StochasticProcess { |
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| 36 | public: |
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| 37 | StochasticProcessArray( |
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| 38 | const std::vector<ext::shared_ptr<StochasticProcess1D> >&, |
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| 39 | const Matrix& correlation); |
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| 40 | // stochastic process interface |
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| 41 | Size size() const override; |
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| 42 | Array initialValues() const override; |
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| 43 | Array drift(Time t, const Array& x) const override; |
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| 44 | Array expectation(Time t0, const Array& x0, Time dt) const override; |
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| 45 | |
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| 46 | Matrix diffusion(Time t, const Array& x) const override; |
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| 47 | Matrix covariance(Time t0, const Array& x0, Time dt) const override; |
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| 48 | Matrix stdDeviation(Time t0, const Array& x0, Time dt) const override; |
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| 49 | |
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| 50 | Array apply(const Array& x0, const Array& dx) const override; |
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| 51 | Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override; |
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| 52 | |
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| 53 | Time time(const Date&) const override; |
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| 54 | // inspectors |
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| 55 | const ext::shared_ptr<StochasticProcess1D>& process(Size i) const; |
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| 56 | Matrix correlation() const; |
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| 57 | protected: |
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| 58 | std::vector<ext::shared_ptr<StochasticProcess1D> > processes_; |
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| 59 | Matrix sqrtCorrelation_; |
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| 60 | }; |
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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 | #endif |
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| 66 | |
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