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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008 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 jointstochasticprocess.hpp
\brief multi model process for hybrid products
*/
#ifndef quantlib_joint_stochastic_process_hpp
#define quantlib_joint_stochastic_process_hpp
#include <ql/utilities/null.hpp>
#include <ql/stochasticprocess.hpp>
#include <vector>
#include <map>
namespace QuantLib {
class JointStochasticProcess : public StochasticProcess {
public:
JointStochasticProcess(
const std::vector<ext::shared_ptr<StochasticProcess> > & l,
Size factors = Null<Size>() );
Size size() const;
Size factors() const;
Disposable<Array> initialValues() const;
Disposable<Array> drift(Time t, const Array& x) const;
Disposable<Array> expectation(Time t0, const Array& x0, Time dt) const;
Disposable<Matrix> diffusion(Time t, const Array& x) const;
Disposable<Matrix> covariance(Time t0, const Array& x0, Time dt) const;
Disposable<Matrix> stdDeviation(Time t0, const Array& x0,
Time dt) const;
Disposable<Array> apply(const Array& x0, const Array& dx) const;
Disposable<Array> evolve(Time t0, const Array& x0,
Time dt, const Array& dw) const;
virtual void preEvolve(Time t0, const Array& x0,
Time dt, const Array& dw) const = 0;
virtual Disposable<Array> postEvolve(Time t0, const Array& x0,
Time dt, const Array& dw,
const Array& y0) const = 0;
virtual DiscountFactor numeraire(Time t, const Array& x) const = 0;
virtual bool correlationIsStateDependent() const = 0;
virtual Disposable<Matrix> crossModelCorrelation(
Time t0, const Array& x0) const = 0;
const std::vector<ext::shared_ptr<StochasticProcess> > &
constituents() const;
void update();
Time time(const Date& date) const;
protected:
std::vector<ext::shared_ptr<StochasticProcess> > l_;
Disposable<Array> slice(const Array& x, Size i) const;
private:
typedef
std::vector<ext::shared_ptr<StochasticProcess> >::const_iterator
const_iterator;
typedef std::vector<ext::shared_ptr<StochasticProcess> >::iterator
iterator;
Size size_, factors_, modelFactors_;
std::vector<Size> vsize_, vfactors_;
struct CachingKey {
CachingKey(const Time t0, const Time dt)
: t0_(t0), dt_(dt) {}
bool operator<(const CachingKey& key) const {
return t0_ < key.t0_
|| ( t0_ == key.t0_ && dt_ < key.dt_);
}
Time t0_;
Time dt_;
};
mutable std::map<CachingKey, Matrix> correlationCache_;
};
}
#endif
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