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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Franois du Vignaud
Copyright (C) 2007 Mark Joshi
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/models/marketmodels/marketmodel.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
namespace QuantLib {
const Matrix& MarketModel::covariance(Size i) const {
if (covariance_.empty()) {
covariance_.resize(numberOfSteps());
for (Size j=0; j<numberOfSteps(); ++j)
covariance_[j] = pseudoRoot(j) * transpose(pseudoRoot(j));
}
QL_REQUIRE(i<covariance_.size(),
"i (" << i <<
") must be less than covariance_.size() (" << covariance_.size() << ")")
return covariance_[i];
}
const Matrix& MarketModel::totalCovariance(Size endIndex) const {
if (totalCovariance_.empty()) {
totalCovariance_.resize(numberOfSteps());
// call to covariance(0) triggers calculation, if necessary
// while covariance_[0] would not
totalCovariance_[0] = covariance(0);
for (Size j=1; j<numberOfSteps(); ++j)
totalCovariance_[j] = totalCovariance_[j-1] + covariance_[j];
}
QL_REQUIRE(endIndex<covariance_.size(),
"endIndex (" << endIndex <<
") must be less than covariance_.size() (" << covariance_.size() << ")")
return totalCovariance_[endIndex];
}
std::vector<Volatility> MarketModel::timeDependentVolatility(Size i) const
{
QL_REQUIRE(i<numberOfRates(),
"index (" << i << ") must less than number of rates (" <<
numberOfRates() << ")");
std::vector<Volatility> result(numberOfSteps());
const std::vector<Time>& evolutionTime = evolution().evolutionTimes();
Time lastTime=0.0;
for (Size j=0; j<numberOfSteps(); ++j) {
Time tau = evolutionTime[j]-lastTime;
Real thisVariance = covariance(j)[i][i];
Real thisVol = std::sqrt(thisVariance/tau);
result[j] = thisVol;
lastTime = evolutionTime[j];
}
return result;
}
}
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