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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Adrian O' Neill
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/errors.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/processes/eulerdiscretization.hpp>
#include <utility>
namespace QuantLib {
VarianceGammaProcess::VarianceGammaProcess(Handle<Quote> s0,
Handle<YieldTermStructure> dividendYield,
Handle<YieldTermStructure> riskFreeRate,
Real sigma,
Real nu,
Real theta)
: StochasticProcess1D(ext::shared_ptr<discretization>(new EulerDiscretization)),
s0_(std::move(s0)), dividendYield_(std::move(dividendYield)),
riskFreeRate_(std::move(riskFreeRate)), sigma_(sigma), nu_(nu), theta_(theta) {
registerWith(riskFreeRate_);
registerWith(dividendYield_);
registerWith(s0_);
}
Real VarianceGammaProcess::x0() const
{
return s0_->value();
}
Real VarianceGammaProcess::drift(Time /*t*/, Real /*x*/) const
{
QL_FAIL("not implemented yet");
}
Real VarianceGammaProcess::diffusion(Time /*t*/, Real /*x*/) const
{
QL_FAIL("not implemented yet");
}
const Handle<Quote>& VarianceGammaProcess::s0() const {
return s0_;
}
const Handle<YieldTermStructure>& VarianceGammaProcess::dividendYield() const {
return dividendYield_;
}
const Handle<YieldTermStructure>& VarianceGammaProcess::riskFreeRate() const {
return riskFreeRate_;
}
}
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