QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
ornsteinuhlenbeckprocess.cpp
Go to the documentation of this file.
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
5 Copyright (C) 2003 Ferdinando Ametrano
6 Copyright (C) 2004, 2005, 2006, 2007 StatPro Italia srl
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
23
24namespace QuantLib {
25
27 Volatility vol,
28 Real x0,
29 Real level)
30 : x0_(x0), speed_(speed), level_(level), volatility_(vol) {
31 QL_REQUIRE(volatility_ >= 0.0, "negative volatility given");
32 }
33
35 if (std::fabs(speed_) < std::sqrt(QL_EPSILON)) {
36 // algebraic limit for small speed
37 return volatility_*volatility_*dt;
38 } else {
40 (1.0 - std::exp(-2.0*speed_*dt));
41 }
42 }
43
44}
45
OrnsteinUhlenbeckProcess(Real speed, Volatility vol, Real x0=0.0, Real level=0.0)
Real variance(Time t0, Real x0, Time dt) const override
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
#define QL_EPSILON
Definition: qldefines.hpp:178
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
Definition: any.hpp:35
Ornstein-Uhlenbeck process.