FdmKlugeExtOUOp Class Reference

#include <fdmklugeextouop.hpp>

Inheritance diagram for FdmKlugeExtOUOp:

Collaboration diagram for FdmKlugeExtOUOp:

Public Member Functions
	FdmKlugeExtOUOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< KlugeExtOUProcess > &klugeOUProcess, const ext::shared_ptr< YieldTermStructure > &rTS, const FdmBoundaryConditionSet &bcSet, Size integroIntegrationOrder)
Size	size () const override
void	setTime (Time t1, Time t2) override
	Time \(t1 <= t2\) is required. More...
Array	apply (const Array &r) const override
Array	apply_mixed (const Array &r) const override
Array	apply_direction (Size direction, const Array &r) const override
Array	solve_splitting (Size direction, const Array &r, Real s) const override
Array	preconditioner (const Array &r, Real s) const override
std::vector< SparseMatrix >	toMatrixDecomp () const override
Public Member Functions inherited from FdmLinearOpComposite
virtual Size	size () const =0
virtual void	setTime (Time t1, Time t2)=0
	Time \(t1 <= t2\) is required. More...
virtual Array	apply_mixed (const Array &r) const =0
virtual Array	apply_direction (Size direction, const Array &r) const =0
virtual Array	solve_splitting (Size direction, const Array &r, Real s) const =0
virtual Array	preconditioner (const Array &r, Real s) const =0
virtual std::vector< SparseMatrix >	toMatrixDecomp () const
SparseMatrix	toMatrix () const override
Public Member Functions inherited from FdmLinearOp
virtual	~FdmLinearOp ()=default
virtual array_type	apply (const array_type &r) const =0
virtual SparseMatrix	toMatrix () const =0

Private Attributes
const ext::shared_ptr< FdmMesher >	mesher_
const ext::shared_ptr< ExtOUWithJumpsProcess >	kluge_
const ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcess >	extOU_
const ext::shared_ptr< YieldTermStructure >	rTS_
const FdmBoundaryConditionSet	bcSet_
const ext::shared_ptr< FdmExtOUJumpOp >	klugeOp_
const ext::shared_ptr< FdmExtendedOrnsteinUhlenbeckOp >	ouOp_
const NinePointLinearOp	corrMap_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by

\[ \begin{array}{rcl} P_t &=& \exp(p_t + X_t + Y_t) \\ dX_t &=& -\alpha X_tdt + \sigma_x dW_t^x \\ dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\ \omega(J) &=& \eta e^{-\eta J} \\ G_t &=& \exp(g_t + U_t) \\ dU_t &=& -\kappa U_tdt + \sigma_udW_t^u \\ \rho &=& \mathrm{corr} (dW_t^x, dW_t^u) \end{array} \]

References: Kluge, Timo L., 2008. Pricing Swing Options and other Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf

http://spanderen.de/2011/06/13/vpp-pricing-i-stochastic-processes-partial-integro-differential-equation/

Definition at line 64 of file fdmklugeextouop.hpp.

Constructor & Destructor Documentation

FdmKlugeExtOUOp()

FdmKlugeExtOUOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< KlugeExtOUProcess > &	klugeOUProcess,
		const ext::shared_ptr< YieldTermStructure > &	rTS,
		const FdmBoundaryConditionSet &	bcSet,
		Size	integroIntegrationOrder
	)

Definition at line 40 of file fdmklugeextouop.cpp.

Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 68 of file fdmklugeextouop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

Time \(t1 <= t2\) is required.

Implements FdmLinearOpComposite.

Definition at line 72 of file fdmklugeextouop.cpp.

apply()

Array apply ( const Array &  r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 77 of file fdmklugeextouop.cpp.

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apply_mixed()

Array apply_mixed ( const Array &  r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 81 of file fdmklugeextouop.cpp.

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apply_direction()

Array apply_direction ( Size  direction, const Array &  r  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 85 of file fdmklugeextouop.cpp.

solve_splitting()

Array solve_splitting ( Size  direction, const Array &  r, Real  s  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 91 of file fdmklugeextouop.cpp.

preconditioner()

Array preconditioner ( const Array &  r, Real  s  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 105 of file fdmklugeextouop.cpp.

toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 109 of file fdmklugeextouop.cpp.

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Member Data Documentation

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 87 of file fdmklugeextouop.hpp.

kluge_

const ext::shared_ptr<ExtOUWithJumpsProcess> kluge_

private

Definition at line 88 of file fdmklugeextouop.hpp.

extOU_

const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOU_

private

Definition at line 89 of file fdmklugeextouop.hpp.

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 91 of file fdmklugeextouop.hpp.

bcSet_

const FdmBoundaryConditionSet bcSet_

private

Definition at line 92 of file fdmklugeextouop.hpp.

klugeOp_

const ext::shared_ptr<FdmExtOUJumpOp> klugeOp_

private

Definition at line 94 of file fdmklugeextouop.hpp.

ouOp_

const ext::shared_ptr<FdmExtendedOrnsteinUhlenbeckOp> ouOp_

private

Definition at line 95 of file fdmklugeextouop.hpp.

corrMap_

const NinePointLinearOp corrMap_

private

Definition at line 97 of file fdmklugeextouop.hpp.