crcirppstateprocess.hpp

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/*
 Copyright (C) 2020 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 crcirppstateprocess.hpp
    \brief CIR++ model state process
    \ingroup processes
*/
 
#ifndef quantext_crcirpp_stateprocess_hpp
#define quantext_crcirpp_stateprocess_hpp
 
#include <ql/stochasticprocess.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
class CrCirpp;
 
//! CIR++ Model State Process
/*! \ingroup processes
 */
class CrCirppStateProcess : public StochasticProcess {
public:
    enum Discretization { BrigoAlfonsi };
 
    CrCirppStateProcess(
        CrCirpp* const model,
        CrCirppStateProcess::Discretization disc = CrCirppStateProcess::Discretization::BrigoAlfonsi);
 
    /*! StochasticProcess interface */
    Size size() const override;
    Array initialValues() const override;
    Array drift(Time t, const Array& x) const override;
    Matrix diffusion(Time t, const Array& x) const override;
    Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;
 
    // inspector
    const CrCirpp* model() const { return model_; }
    const CrCirppStateProcess::Discretization discretization() { return discretization_; }
 
protected:
    const CrCirpp* model_;
    const CrCirppStateProcess::Discretization discretization_;
};
} // namespace QuantExt
 
#endif