hestonslvprocess.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2015 Johannes Göttker-Schnetmann
 Copyright (C) 2015 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 hestonslvprocess.hpp
    \brief Heston stochastic local volatility process
*/
 
#ifndef quantlib_heston_slv_process_hpp
#define quantlib_heston_slv_process_hpp
 
#include <ql/processes/hestonprocess.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
 
namespace QuantLib {
 
    class HestonSLVProcess : public StochasticProcess {
      public:
        HestonSLVProcess(const ext::shared_ptr<HestonProcess>& hestonProcess,
                         ext::shared_ptr<LocalVolTermStructure> leverageFct,
                         Real mixingFactor = 1.0);
 
        Size size() const override { return Size(2); }
        Size factors() const override { return Size(2); }
 
        void update() override;
 
        Array initialValues() const override {
            return hestonProcess_->initialValues();
        }
        Array apply(const Array& x0, const Array& dx) const override {
            return hestonProcess_->apply(x0, dx);
        }
 
        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;
 
        Real v0()    const { return v0_; }
        Real rho()   const { return rho_; }
        Real kappa() const { return kappa_; }
        Real theta() const { return theta_; }
        Real sigma() const { return sigma_; }
        Real mixingFactor() const { return mixingFactor_; }
        ext::shared_ptr<LocalVolTermStructure> leverageFct() const {
            return leverageFct_;
        }
 
        const Handle<Quote>& s0() const { return hestonProcess_->s0(); }
        const Handle<YieldTermStructure>& dividendYield() const {
            return hestonProcess_->dividendYield();
        }
        const Handle<YieldTermStructure>& riskFreeRate() const {
            return hestonProcess_->riskFreeRate();
        }
 
        Time time(const Date& d) const override { return hestonProcess_->time(d); }
 
      private:
        Real kappa_, theta_, sigma_, rho_, v0_, mixingFactor_, mixedSigma_;
 
        const ext::shared_ptr<HestonProcess> hestonProcess_;
        const ext::shared_ptr<LocalVolTermStructure> leverageFct_;
 
        void setParameters();
    };
 
}
 
#endif