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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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 extendedornsteinuhlenbeckprocess.hpp
\brief extended Ornstein-Uhlenbeck process
*/
#ifndef quantlib_extended_ornstein_uhlenbeck_process_hpp
#define quantlib_extended_ornstein_uhlenbeck_process_hpp
#include <ql/stochasticprocess.hpp>
#include <functional>
namespace QuantLib {
class OrnsteinUhlenbeckProcess;
//! Extended Ornstein-Uhlenbeck process class
/*! This class describes the Ornstein-Uhlenbeck process governed by
\f[
dx = a (b(t) - x_t) dt + \sigma dW_t.
\f]
\ingroup processes
*/
class ExtendedOrnsteinUhlenbeckProcess : public StochasticProcess1D {
public:
enum Discretization { MidPoint, Trapezodial, GaussLobatto };
ExtendedOrnsteinUhlenbeckProcess(Real speed,
Volatility sigma,
Real x0,
std::function<Real(Real)> b,
Discretization discretization = MidPoint,
Real intEps = 1e-4);
//! \name StochasticProcess interface
//@{
Real x0() const override;
Real speed() const;
Real volatility() const;
Real drift(Time t, Real x) const override;
Real diffusion(Time t, Real x) const override;
Real expectation(Time t0, Real x0, Time dt) const override;
Real stdDeviation(Time t0, Real x0, Time dt) const override;
Real variance(Time t0, Real x0, Time dt) const override;
//@}
private:
const Real speed_;
const Volatility vol_;
const std::function<Real (Real)> b_;
const Real intEps_;
const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess_;
const Discretization discretization_;
};
}
#endif
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