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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Klaus Spanderen
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
<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 stochasticprocessarray.hpp
\brief Array of correlated 1-D stochastic processes
*/
#ifndef quantlib_stochastic_process_array_hpp
#define quantlib_stochastic_process_array_hpp
#include <ql/stochasticprocess.hpp>
#include <vector>
namespace QuantLib {
//! %Array of correlated 1-D stochastic processes
/*! \ingroup processes */
class StochasticProcessArray : public StochasticProcess {
public:
StochasticProcessArray(
const std::vector<ext::shared_ptr<StochasticProcess1D> >&,
const Matrix& correlation);
// stochastic process interface
Size size() const override;
Array initialValues() const override;
Array drift(Time t, const Array& x) const override;
Array expectation(Time t0, const Array& x0, Time dt) const override;
Matrix diffusion(Time t, const Array& x) const override;
Matrix covariance(Time t0, const Array& x0, Time dt) const override;
Matrix stdDeviation(Time t0, const Array& x0, Time dt) const override;
Array apply(const Array& x0, const Array& dx) const override;
Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;
Time time(const Date&) const override;
// inspectors
const ext::shared_ptr<StochasticProcess1D>& process(Size i) const;
Matrix correlation() const;
protected:
std::vector<ext::shared_ptr<StochasticProcess1D> > processes_;
Matrix sqrtCorrelation_;
};
}
#endif
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