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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Klaus Spanderen
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.
*/
/*! \file expouwithjumpsprocess.cpp
\brief Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
*/
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
namespace QuantLib {
ExtOUWithJumpsProcess::ExtOUWithJumpsProcess(
const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& process,
Real Y0, Real beta, Real jumpIntensity, Real eta)
: Y0_(Y0),
beta_(beta),
jumpIntensity_(jumpIntensity), eta_(eta),
ouProcess_(process) { }
Size ExtOUWithJumpsProcess::size() const {
return 2;
}
Size ExtOUWithJumpsProcess::factors() const {
return 3;
}
ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>
ExtOUWithJumpsProcess::getExtendedOrnsteinUhlenbeckProcess() const {
return ouProcess_;
}
Real ExtOUWithJumpsProcess::beta() const {
return beta_;
}
Real ExtOUWithJumpsProcess::jumpIntensity() const {
return jumpIntensity_;
}
Real ExtOUWithJumpsProcess::eta() const {
return eta_;
}
Disposable<Array> ExtOUWithJumpsProcess::initialValues() const {
Array retVal(2);
retVal[0] = ouProcess_->x0();
retVal[1] = Y0_;
return retVal;
}
Disposable<Array> ExtOUWithJumpsProcess::drift(Time t, const Array& x) const {
Array retVal(2);
retVal[0] = ouProcess_->drift(t, x[0]);
retVal[1] = -beta_*x[1];
return retVal;
}
Disposable<Matrix>
ExtOUWithJumpsProcess::diffusion(Time t, const Array& x) const {
Matrix retVal(2, 2, 0.0);
retVal[0][0] = ouProcess_->diffusion(t, x[0]);
return retVal;
}
Disposable<Array> ExtOUWithJumpsProcess::evolve(
Time t0, const Array& x0, Time dt, const Array& dw) const {
Array retVal(2);
retVal[0] = ouProcess_->evolve(t0, x0[0], dt, dw[0]);
retVal[1] = x0[1]*std::exp(-beta_*dt);
const Real u1 = std::max(QL_EPSILON, std::min(cumNormalDist_(dw[1]),
1.0-QL_EPSILON));
const Time interarrival = -1.0/jumpIntensity_*std::log(u1);
if (interarrival < dt) {
const Real u2 = std::max(QL_EPSILON, std::min(cumNormalDist_(dw[2]),
1.0-QL_EPSILON));
const Real jumpSize = -1.0/eta_*std::log(u2);
retVal[1] += jumpSize;
}
return retVal;
}
}
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