QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <exponentialjump1dmesher.hpp>
Public Member Functions | |
ExponentialJump1dMesher (Size steps, Real beta, Real jumpIntensity, Real eta, Real eps=1e-3) | |
Real | jumpSizeDensity (Real x) const |
Real | jumpSizeDensity (Real x, Time t) const |
Real | jumpSizeDistribution (Real x) const |
Real | jumpSizeDistribution (Real x, Time t) const |
Public Member Functions inherited from Fdm1dMesher | |
Fdm1dMesher (Size size) | |
virtual | ~Fdm1dMesher ()=default |
Size | size () const |
Real | dplus (Size index) const |
Real | dminus (Size index) const |
Real | location (Size index) const |
const std::vector< Real > & | locations () const |
Private Attributes | |
const Real | beta_ |
const Real | jumpIntensity_ |
const Real | eta_ |
Additional Inherited Members | |
Protected Attributes inherited from Fdm1dMesher | |
std::vector< Real > | locations_ |
std::vector< Real > | dplus_ |
std::vector< Real > | dminus_ |
Mesher for a exponential jump process with high mean reversion rate and low jump intensity
\[ \begin{array}{rcl} dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\ \omega(J)&=&\frac{1}{\eta_u}e^{-\frac{1}{\eta_u}J} \end{array} \]
References: B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing swing options in electricity markets, http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
Definition at line 49 of file exponentialjump1dmesher.hpp.
Definition at line 32 of file exponentialjump1dmesher.cpp.
Definition at line 69 of file exponentialjump1dmesher.cpp.
Definition at line 57 of file exponentialjump1dmesher.cpp.
Definition at line 85 of file exponentialjump1dmesher.cpp.
Definition at line 77 of file exponentialjump1dmesher.cpp.
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private |
Definition at line 61 of file exponentialjump1dmesher.hpp.
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Definition at line 61 of file exponentialjump1dmesher.hpp.
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private |
Definition at line 61 of file exponentialjump1dmesher.hpp.