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fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
ExponentialJump1dMesher Class Reference

#include <exponentialjump1dmesher.hpp>

+ Inheritance diagram for ExponentialJump1dMesher:
+ Collaboration diagram for ExponentialJump1dMesher:

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< Reallocations_
 
std::vector< Realdplus_
 
std::vector< Realdminus_
 

Detailed Description

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.

Constructor & Destructor Documentation

◆ ExponentialJump1dMesher()

ExponentialJump1dMesher ( Size  steps,
Real  beta,
Real  jumpIntensity,
Real  eta,
Real  eps = 1e-3 
)

Definition at line 32 of file exponentialjump1dmesher.cpp.

Member Function Documentation

◆ jumpSizeDensity() [1/2]

Real jumpSizeDensity ( Real  x) const

Definition at line 69 of file exponentialjump1dmesher.cpp.

◆ jumpSizeDensity() [2/2]

Real jumpSizeDensity ( Real  x,
Time  t 
) const

Definition at line 57 of file exponentialjump1dmesher.cpp.

◆ jumpSizeDistribution() [1/2]

Real jumpSizeDistribution ( Real  x) const

Definition at line 85 of file exponentialjump1dmesher.cpp.

◆ jumpSizeDistribution() [2/2]

Real jumpSizeDistribution ( Real  x,
Time  t 
) const

Definition at line 77 of file exponentialjump1dmesher.cpp.

Member Data Documentation

◆ beta_

const Real beta_
private

Definition at line 61 of file exponentialjump1dmesher.hpp.

◆ jumpIntensity_

const Real jumpIntensity_
private

Definition at line 61 of file exponentialjump1dmesher.hpp.

◆ eta_

const Real eta_
private

Definition at line 61 of file exponentialjump1dmesher.hpp.