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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 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/models/shortrate/twofactormodel.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
namespace QuantLib {
TwoFactorModel::TwoFactorModel(Size nArguments)
: ShortRateModel(nArguments) {}
boost::shared_ptr<Lattice>
TwoFactorModel::tree(const TimeGrid& grid) const {
boost::shared_ptr<ShortRateDynamics> dyn = dynamics();
boost::shared_ptr<TrinomialTree> tree1(
new TrinomialTree(dyn->xProcess(), grid));
boost::shared_ptr<TrinomialTree> tree2(
new TrinomialTree(dyn->yProcess(), grid));
return boost::shared_ptr<Lattice>(
new TwoFactorModel::ShortRateTree(tree1, tree2, dyn));
}
TwoFactorModel::ShortRateTree::ShortRateTree(
const boost::shared_ptr<TrinomialTree>& tree1,
const boost::shared_ptr<TrinomialTree>& tree2,
const boost::shared_ptr<ShortRateDynamics>& dynamics)
: TreeLattice2D<TwoFactorModel::ShortRateTree,TrinomialTree>(
tree1, tree2, dynamics->correlation()),
dynamics_(dynamics) {}
boost::shared_ptr<StochasticProcess>
TwoFactorModel::ShortRateDynamics::process() const {
Matrix correlation(2,2);
correlation[0][0] = correlation[1][1] = 1.0;
correlation[0][1] = correlation[1][0] = correlation_;
std::vector<boost::shared_ptr<StochasticProcess1D> > processes;
processes[0] = xProcess_;
processes[1] = yProcess_;
return boost::shared_ptr<StochasticProcess>(
new StochasticProcessArray(processes,correlation));
}
}
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