1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
|
/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file twofactormodel.hpp
\brief Abstract two-factor interest rate model class
\fullpath
ql/InterestRateModelling/%twofactormodel.hpp
*/
// $Id: twofactormodel.hpp,v 1.9 2002/03/05 01:10:37 sadrejeb Exp $
#ifndef quantlib_interest_rate_modelling_two_factor_model_h
#define quantlib_interest_rate_modelling_two_factor_model_h
#include <ql/diffusionprocess.hpp>
#include <ql/InterestRateModelling/model.hpp>
namespace QuantLib {
namespace InterestRateModelling {
class TwoFactorModel : public Model {
public:
TwoFactorModel(
Size nParams,
const RelinkableHandle<TermStructure>& termStructure)
: Model(nParams, termStructure) {}
virtual ~TwoFactorModel() {}
virtual double discountBondOption(Option::Type type,
double strike,
Time maturity,
Time bondMaturity) const = 0;
class ShortRateProcess {
public:
ShortRateProcess(const Handle<DiffusionProcess>& xProcess,
const Handle<DiffusionProcess>& yProcess,
double correlation)
: xProcess_(xProcess), yProcess_(yProcess),
correlation_(correlation) {}
virtual ~ShortRateProcess() {}
virtual Rate shortRate(Time t, double x, double y) const = 0;
const Handle<DiffusionProcess>& xProcess() const {
return xProcess_;
}
const Handle<DiffusionProcess>& yProcess() const {
return yProcess_;
}
double correlation() const {
return correlation_;
}
private:
Handle<DiffusionProcess> xProcess_, yProcess_;
double correlation_;
};
};
}
}
#endif
|
