gaussian1dcrossassetadaptor.cpp

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/*
 Copyright (C) 2016 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.
*/
 
#include <qle/models/gaussian1dcrossassetadaptor.hpp>
#include <qle/processes/irlgm1fstateprocess.hpp>
 
#include <boost/make_shared.hpp>
 
namespace QuantExt {
 
Gaussian1dCrossAssetAdaptor::Gaussian1dCrossAssetAdaptor(const QuantLib::ext::shared_ptr<LinearGaussMarkovModel>& model)
    : Gaussian1dModel(model->parametrization()->termStructure()), x_(model) {
    initialize();
}
 
Gaussian1dCrossAssetAdaptor::Gaussian1dCrossAssetAdaptor(Size ccy, const QuantLib::ext::shared_ptr<CrossAssetModel>& model)
    : Gaussian1dModel(model->irlgm1f(ccy)->termStructure()), x_(model->lgm(ccy)) {
    initialize();
}
 
void Gaussian1dCrossAssetAdaptor::initialize() {
    registerWith(x_);
    stateProcess_ = QuantLib::ext::dynamic_pointer_cast<StochasticProcess1D>(x_->stateProcess());
}
 
} // namespace QuantExt