1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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
<https://www.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/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
KlugeExtOUProcess::KlugeExtOUProcess(
Real rho,
ext::shared_ptr<ExtOUWithJumpsProcess> klugeProcess,
ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess)
: rho_(rho), sqrtMRho_(std::sqrt(1 - rho * rho)), klugeProcess_(std::move(klugeProcess)),
ouProcess_(std::move(ouProcess)) {
QL_REQUIRE(klugeProcess_, "null Kluge process");
QL_REQUIRE(ouProcess_, "null Ornstein-Uhlenbeck process");
}
Size KlugeExtOUProcess::size() const {
return klugeProcess_->size() + 1;
}
Size KlugeExtOUProcess::factors() const {
return klugeProcess_->factors() + 1;
}
Array KlugeExtOUProcess::initialValues() const {
Array retVal(size());
const Array x0 = klugeProcess_->initialValues();
std::copy(x0.begin(), x0.end(), retVal.begin());
retVal.back() = ouProcess_->x0();
return retVal;
}
Array KlugeExtOUProcess::drift(Time t, const Array& x) const {
Array retVal(size());
Array mu = klugeProcess_->drift(t, x);
std::copy(mu.begin(), mu.end(), retVal.begin());
retVal.back() = ouProcess_->drift(t, x.back());
return retVal;
}
Matrix KlugeExtOUProcess::diffusion(Time t, const Array& x) const{
Matrix retVal(size(), factors(), 0.0);
Volatility vol = ouProcess_->diffusion(t, x.back());
retVal[0][0] = klugeProcess_->diffusion(t, x)[0][0];
retVal[size()][0] = rho_*vol;
retVal[size()][factors()] = sqrtMRho_*vol;
return retVal;
}
Array KlugeExtOUProcess::evolve(Time t0, const Array& x0,
Time dt, const Array& dw) const{
Array retVal(size());
Array ev = klugeProcess_->evolve(t0, x0, dt, dw);
std::copy(ev.begin(), ev.end(), retVal.begin());
const Real dz = dw.back()*sqrtMRho_ + dw.front()*rho_;
retVal.back() = ouProcess_->evolve(t0, x0.back(), dt, dz);
return retVal;
}
ext::shared_ptr<ExtOUWithJumpsProcess>
KlugeExtOUProcess::getKlugeProcess() const {
return klugeProcess_;
}
ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>
KlugeExtOUProcess::getExtOUProcess() const {
return ouProcess_;
}
Real KlugeExtOUProcess::rho() const {
return rho_;
}
}
|
