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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Frank Hövermann
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/processes/endeulerdiscretization.hpp>
namespace QuantLib {
Array EndEulerDiscretization::drift(const StochasticProcess& process,
Time t0, const Array& x0,
Time dt) const {
return process.drift(t0+dt, x0)*dt;
}
Real EndEulerDiscretization::drift(const StochasticProcess1D& process,
Time t0, Real x0, Time dt) const {
return process.drift(t0+dt, x0)*dt;
}
Matrix EndEulerDiscretization::diffusion(const StochasticProcess& process,
Time t0,
const Array& x0,
Time dt) const {
return process.diffusion(t0+dt, x0) * std::sqrt(dt);
}
Real EndEulerDiscretization::diffusion(const StochasticProcess1D& process,
Time t0, Real x0, Time dt) const {
return process.diffusion(t0+dt, x0) * std::sqrt(dt);
}
Matrix EndEulerDiscretization::covariance(const StochasticProcess& process,
Time t0,
const Array& x0,
Time dt) const {
Matrix sigma = process.diffusion(t0+dt, x0);
Matrix result = sigma*transpose(sigma)*dt;
return result;
}
Real EndEulerDiscretization::variance(const StochasticProcess1D& process,
Time t0, Real x0, Time dt) const {
Real sigma = process.diffusion(t0+dt, x0);
return sigma*sigma*dt;
}
}
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