klugeextouprocess.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2011 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file klugeextouprocess.hpp
    \brief joint Kluge process an d Ornstein Uhlenbeck process
*/
 
#ifndef quantlib_kluge_ext_ou_process_hpp
#define quantlib_kluge_ext_ou_process_hpp
 
#include <ql/stochasticprocess.hpp>
 
namespace QuantLib {
 
    class ExtOUWithJumpsProcess;
    class ExtendedOrnsteinUhlenbeckProcess;
 
    /*! This class describes a correlated Kluge - extended Ornstein-Uhlenbeck
        process governed by
        \f[
        \begin{array}{rcl}
            P_t &=& \exp(p_t + X_t + Y_t) \\
            dX_t &=& -\alpha X_tdt + \sigma_x dW_t^x \\
            dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\
            \omega(J) &=& \eta e^{-\eta J} \\
            G_t &=& \exp(g_t + U_t) \\
            dU_t &=& -\kappa U_tdt + \sigma_udW_t^u \\
            \rho &=& \mathrm{corr} (dW_t^x, dW_t^u)
         \end{array}
         \f]
    */
 
    /*! 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
    */
 
 
    class KlugeExtOUProcess : public StochasticProcess {
      public:
        KlugeExtOUProcess(Real rho,
                          ext::shared_ptr<ExtOUWithJumpsProcess> kluge,
                          ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOU);
 
        Size size() const override;
        Size factors() 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;
 
        ext::shared_ptr<ExtOUWithJumpsProcess> getKlugeProcess() const;
        ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> getExtOUProcess() const;
 
        Real rho() const;
 
      private:
        const Real rho_, sqrtMRho_;
        const ext::shared_ptr<ExtOUWithJumpsProcess> klugeProcess_;
        const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess_;
    };
}
#endif