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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2016 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 squarerootclvmodel.hpp
\brief CLV model with a square root kernel process
*/
#ifndef quantlib_square_root_clv_model_hpp
#define quantlib_square_root_clv_model_hpp
#include <ql/time/date.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/math/interpolations/lagrangeinterpolation.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/math/gaussiannoncentralchisquaredpolynomial.hpp>
#include <functional>
#include <map>
namespace QuantLib {
class GBSMRNDCalculator;
class SquareRootProcess;
class GeneralizedBlackScholesProcess;
class SquareRootCLVModel : public LazyObject {
public:
SquareRootCLVModel(const ext::shared_ptr<GeneralizedBlackScholesProcess>& bsProcess,
ext::shared_ptr<SquareRootProcess> sqrtProcess,
std::vector<Date> maturityDates,
Size lagrangeOrder,
Real pMax = Null<Real>(),
Real pMin = Null<Real>());
// cumulative distribution function of the BS process
Real cdf(const Date& d, Real x) const;
// inverse cumulative distribution function of the BS process
Real invCDF(const Date& d, Real q) const;
// collocation points of the square root process
Array collocationPointsX(const Date& d) const;
// collocation points for the underlying Y
Array collocationPointsY(const Date& d) const;
// CLV mapping function
std::function<Real(Time, Real)> g() const;
protected:
void performCalculations() const override;
private:
class MappingFunction {
public:
explicit MappingFunction(const SquareRootCLVModel& model);
Real operator()(Time t, Real x) const;
private:
const ext::shared_ptr<Matrix> s_, x_;
typedef std::map<Time, ext::shared_ptr<LagrangeInterpolation> >
interpl_type;
interpl_type interpl;
};
std::pair<Real, Real> nonCentralChiSquaredParams(const Date& d) const;
const Real pMax_, pMin_;
const ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_;
const ext::shared_ptr<SquareRootProcess> sqrtProcess_;
const std::vector<Date> maturityDates_;
const Size lagrangeOrder_;
const ext::shared_ptr<GBSMRNDCalculator> rndCalculator_;
mutable std::function<Real(Time, Real)> g_;
};
}
#endif
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