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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/stochasticprocess.hpp>
#include <utility>
namespace QuantLib {
// base class
StochasticProcess::StochasticProcess(ext::shared_ptr<discretization> disc)
: discretization_(std::move(disc)) {}
Size StochasticProcess::factors() const {
return size();
}
Array StochasticProcess::expectation(Time t0,
const Array& x0,
Time dt) const {
return apply(x0, discretization_->drift(*this, t0, x0, dt));
}
Matrix StochasticProcess::stdDeviation(Time t0,
const Array& x0,
Time dt) const {
return discretization_->diffusion(*this, t0, x0, dt);
}
Matrix StochasticProcess::covariance(Time t0,
const Array& x0,
Time dt) const {
return discretization_->covariance(*this, t0, x0, dt);
}
Array StochasticProcess::evolve(Time t0, const Array& x0,
Time dt, const Array& dw) const {
return apply(expectation(t0,x0,dt), stdDeviation(t0,x0,dt)*dw);
}
Array StochasticProcess::apply(const Array& x0,
const Array& dx) const {
return x0 + dx;
}
Time StochasticProcess::time(const Date& ) const {
QL_FAIL("date/time conversion not supported");
}
void StochasticProcess::update() {
notifyObservers();
}
// 1-D specialization
StochasticProcess1D::StochasticProcess1D(ext::shared_ptr<discretization> disc)
: discretization_(std::move(disc)) {}
Real StochasticProcess1D::expectation(Time t0, Real x0, Time dt) const {
return apply(x0, discretization_->drift(*this, t0, x0, dt));
}
Real StochasticProcess1D::stdDeviation(Time t0, Real x0, Time dt) const {
return discretization_->diffusion(*this, t0, x0, dt);
}
Real StochasticProcess1D::variance(Time t0, Real x0, Time dt) const {
return discretization_->variance(*this, t0, x0, dt);
}
Real StochasticProcess1D::evolve(Time t0, Real x0,
Time dt, Real dw) const {
return apply(expectation(t0,x0,dt), stdDeviation(t0,x0,dt)*dw);
}
Real StochasticProcess1D::apply(Real x0, Real dx) const {
return x0 + dx;
}
}
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