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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2005 StatPro Italia srl
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/squarerootprocess.hpp>
namespace QuantLib {
SquareRootProcess::SquareRootProcess(
Real b, Real a, Volatility sigma, Real x0,
const ext::shared_ptr<discretization>& disc)
: StochasticProcess1D(disc), x0_(x0), mean_(b), speed_(a),
volatility_(sigma) {}
Real SquareRootProcess::x0() const {
return x0_;
}
Real SquareRootProcess::drift(Time, Real x) const {
return speed_*(mean_ - x);
}
Real SquareRootProcess::diffusion(Time, Real x) const {
return volatility_*std::sqrt(x);
}
}
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