levyflightdistribution.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2015 Andres Hernandez
 
 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_levy_flight_distribution_hpp
#define quantlib_levy_flight_distribution_hpp
 
#include <ql/types.hpp>
#include <ql/errors.hpp>
#include <random>
 
namespace QuantLib {
 
 
    class LevyFlightDistribution
    {
      public:
        class param_type
        {
          public:
            param_type(Real xm = 1.0, Real alpha = 1.0)
              : xm_(xm), alpha_(alpha) { QL_REQUIRE(alpha_ > 0.0, "alpha must be larger than 0"); }
 
            Real xm() const { return xm_; }
            
            Real alpha() const { return alpha_; }
 
        private:
            Real xm_;
            Real alpha_;
        };
 
 
 
        explicit LevyFlightDistribution(Real xm = 1.0, Real alpha = 1.0)
          : xm_(xm), alpha_(alpha) { QL_REQUIRE(alpha_ > 0.0, "alpha must be larger than 0"); }
 
        explicit LevyFlightDistribution(const param_type& parm)
          : xm_(parm.xm()), alpha_(parm.alpha()) {}
 
        // compiler-generated copy ctor and assignment operator are fine
 
 
 
        Real xm() const { return xm_; }
            
        Real alpha() const { return alpha_; }
 
        Real min BOOST_PREVENT_MACRO_SUBSTITUTION () const
        { return xm_; }
        Real max BOOST_PREVENT_MACRO_SUBSTITUTION () const
        { return QL_MAX_REAL; }
 
        param_type param() const { return {xm_, alpha_}; }
        
        void param(const param_type& parm) { 
            xm_ = parm.xm();
            alpha_ = parm.alpha();
        }
 
        void reset() { }
        
        Real operator()(Real x) const{
            using std::pow;
            if(x < xm_) return 0.0;
            return alpha_*pow(xm_/x, alpha_)/x;
        }
        
        template<class Engine>
        Real operator()(Engine& eng) const {
            using std::pow;
            return xm_*pow(std::uniform_real_distribution<Real>(0.0, 1.0)(eng), -1.0/alpha_);
        }
 
        template<class Engine>
        Real operator()(Engine& eng, const param_type& parm) const {
            return LevyFlightDistribution (parm)(eng);
        }
 
    private:
        Real xm_;
        Real alpha_;
    };
 
}
 
#endif