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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 Johannes Göttker-Schnetmann
Copyright (C) 2015 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.
*/
/*! \file hestonslvprocess.hpp
\brief Heston stochastic local volatility process
*/
#ifndef quantlib_heston_slv_process_hpp
#define quantlib_heston_slv_process_hpp
#include <ql/processes/hestonprocess.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
namespace QuantLib {
class HestonSLVProcess : public StochasticProcess {
public:
HestonSLVProcess(const ext::shared_ptr<HestonProcess>& hestonProcess,
ext::shared_ptr<LocalVolTermStructure> leverageFct,
Real mixingFactor = 1.0);
Size size() const override { return Size(2); }
Size factors() const override { return Size(2); }
void update() override;
Array initialValues() const override {
return hestonProcess_->initialValues();
}
Array apply(const Array& x0, const Array& dx) const override {
return hestonProcess_->apply(x0, dx);
}
Array drift(Time t, const Array& x) const override;
Matrix diffusion(Time t, const Array& x) const override;
Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;
Real v0() const { return v0_; }
Real rho() const { return rho_; }
Real kappa() const { return kappa_; }
Real theta() const { return theta_; }
Real sigma() const { return sigma_; }
Real mixingFactor() const { return mixingFactor_; }
ext::shared_ptr<LocalVolTermStructure> leverageFct() const {
return leverageFct_;
}
const Handle<Quote>& s0() const { return hestonProcess_->s0(); }
const Handle<YieldTermStructure>& dividendYield() const {
return hestonProcess_->dividendYield();
}
const Handle<YieldTermStructure>& riskFreeRate() const {
return hestonProcess_->riskFreeRate();
}
Time time(const Date& d) const override { return hestonProcess_->time(d); }
private:
Real kappa_, theta_, sigma_, rho_, v0_, mixingFactor_, mixedSigma_;
const ext::shared_ptr<HestonProcess> hestonProcess_;
const ext::shared_ptr<LocalVolTermStructure> leverageFct_;
void setParameters();
};
}
#endif
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