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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013, 2015 Peter Caspers
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/processes/gsrprocess.hpp>
#include <cmath>
namespace QuantLib {
GsrProcess::GsrProcess(const Array ×, const Array &vols,
const Array &reversions,
const Real T, const Date &referenceDate,
const DayCounter &dc)
: ForwardMeasureProcess1D(T),
core_(times,vols,reversions,T),
referenceDate_(referenceDate), dc_(dc) {
flushCache();
}
void GsrProcess::checkT(const Time t) const {
QL_REQUIRE(t <= getForwardMeasureTime() && t >= 0.0,
"t (" << t
<< ") must not be greater than forward measure time ("
<< getForwardMeasureTime() << ") and non-negative");
}
Real GsrProcess::time(const Date &d) const {
QL_REQUIRE(
referenceDate_ != Null<Date>() && dc_ != DayCounter(),
"time can not be computed without reference date and day counter");
return dc_.yearFraction(referenceDate_, d);
}
Real GsrProcess::x0() const { return 0.0; }
Real GsrProcess::drift(Time t, Real x) const {
return core_.y(t) -
core_.G(t, getForwardMeasureTime()) * sigma(t) * sigma(t) -
reversion(t) * x;
}
Real GsrProcess::diffusion(Time t, Real) const {
checkT(t);
return sigma(t);
}
Real GsrProcess::expectation(Time w, Real xw, Time dt) const {
checkT(w + dt);
return core_.expectation_x0dep_part(w, xw, dt) +
core_.expectation_rn_part(w, dt) +
core_.expectation_tf_part(w, dt);
}
Real GsrProcess::stdDeviation(Time t0, Real x0, Time dt) const {
return std::sqrt(variance(t0, x0, dt));
}
Real GsrProcess::variance(Time w, Real, Time dt) const {
checkT(w + dt);
return core_.variance(w,dt);
}
Real GsrProcess::sigma(Time t) const { return core_.sigma(t); }
Real GsrProcess::reversion(Time t) const { return core_.reversion(t); }
Real GsrProcess::y(Time t) const {
checkT(t);
return core_.y(t);
}
Real GsrProcess::G(Time t, Time w, Real) const {
QL_REQUIRE(w >= t, "G(t,w) should be called with w ("
<< w << ") not lesser than t (" << t << ")");
QL_REQUIRE(t >= 0.0 && w <= getForwardMeasureTime(),
"G(t,w) should be called with (t,w)=("
<< t << "," << w << ") in Range [0,"
<< getForwardMeasureTime() << "].");
return core_.G(t,w);
}
}
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