commodityschwartzstateprocess.hpp

Go to the documentation of this file.

/*
 Copyright (C) 2022 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file commodityschwartzstateprocess.hpp
    \brief COM state process for the one-factor Schwartz model
    \ingroup processes
*/
 
#ifndef quantext_com_schwartz_stateprocess_hpp
#define quantext_com_schwartz_stateprocess_hpp
 
#include <ql/stochasticprocess.hpp>
#include <qle/models/commodityschwartzmodel.hpp>
#include <qle/models/commodityschwartzparametrization.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! COM Schwartz model one-factor state process
/*! \ingroup processes
 */
class CommoditySchwartzStateProcess : public StochasticProcess1D {
public:
    CommoditySchwartzStateProcess(const QuantLib::ext::shared_ptr<CommoditySchwartzParametrization>& parametrization,
                                  const CommoditySchwartzModel::Discretization discretization);
    //! \name StochasticProcess interface
    //@{
    Real x0() const override { return 0.0; }
    Real drift(Time t, Real x) const override;
    Real diffusion(Time t, Real x) const override;
    //@}
 
    class ExactDiscretization : public StochasticProcess1D::discretization {
    public:
        ExactDiscretization(const QuantLib::ext::shared_ptr<CommoditySchwartzParametrization>& p) : p_(p) {}
        Real drift(const StochasticProcess1D& p, Time t0, Real x0, Time dt) const override;
        Real diffusion(const StochasticProcess1D& p, Time t0, Real x0, Time dt) const override;
        Real variance(const StochasticProcess1D& p, Time t0, Real x0, Time dt) const override;
 
    private:
        const QuantLib::ext::shared_ptr<CommoditySchwartzParametrization> p_;
    };
 
private:
    const QuantLib::ext::shared_ptr<CommoditySchwartzParametrization> p_;
};
 
} // namespace QuantExt
 
#endif