klugeextouprocess.hpp

/* -*- 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.
*/
 
#ifndef quantlib_kluge_ext_ou_process_hpp
#define quantlib_kluge_ext_ou_process_hpp
 
#include <ql/stochasticprocess.hpp>
 
namespace QuantLib {
 
    class ExtOUWithJumpsProcess;
    class ExtendedOrnsteinUhlenbeckProcess;
 
    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