COM Schwartz model one-factor state process. More...

#include <qle/processes/commodityschwartzstateprocess.hpp>

Inheritance diagram for CommoditySchwartzStateProcess:

Collaboration diagram for CommoditySchwartzStateProcess:

Classes
class	ExactDiscretization

Public Member Functions
	CommoditySchwartzStateProcess (const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization > &parametrization, const CommoditySchwartzModel::Discretization discretization)

StochasticProcess interface
const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization >	p_

Real	x0 () const override

Real	drift (Time t, Real x) const override

Real	diffusion (Time t, Real x) const override

Detailed Description

COM Schwartz model one-factor state process.

Definition at line 37 of file commodityschwartzstateprocess.hpp.

Constructor & Destructor Documentation

◆ CommoditySchwartzStateProcess()

CommoditySchwartzStateProcess	(	const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization > &	parametrization,
		const CommoditySchwartzModel::Discretization	discretization
	)

Definition at line 25 of file commodityschwartzstateprocess.cpp.

    : StochasticProcess1D(discretization == CommoditySchwartzModel::Discretization::Euler
                              ? QuantLib::ext::make_shared<EulerDiscretization>()
                              : QuantLib::ext::static_pointer_cast<StochasticProcess1D::discretization>(
                                    QuantLib::ext::make_shared<ExactDiscretization>(parametrization))),
      p_(parametrization) {}

Member Function Documentation

◆ x0()

Real x0 ( ) const

override

Definition at line 43 of file commodityschwartzstateprocess.hpp.

43{ return 0.0; }

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◆ drift()

Real drift	(	Time	t,
		Real	x
	)		const

override

Definition at line 34 of file commodityschwartzstateprocess.cpp.

                                                               {
    if (p_->driftFreeState())
        return 0.0;
    else
        return -x0 * p_->kappaParameter();
}