gsrprocess.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2013, 2015 Peter Caspers
 
 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_gsr_process_hpp
#define quantlib_gsr_process_hpp
 
#include <ql/processes/forwardmeasureprocess.hpp>
#include <ql/processes/gsrprocesscore.hpp>
#include <ql/time/daycounter.hpp>
 
namespace QuantLib {
 
 
    class GsrProcess : public ForwardMeasureProcess1D {
      public:
        GsrProcess(const Array& times,
                   const Array& vols,
                   const Array& reversions,
                   Real T = 60.0,
                   const Date& referenceDate = Null<Date>(),
                   DayCounter dc = DayCounter());
 
        Real x0() const override;
        Real drift(Time t, Real x) const override;
        Real diffusion(Time t, Real) const override;
        Real expectation(Time t0, Real x0, Time dt) const override;
        Real stdDeviation(Time t0, Real x0, Time dt) const override;
        Real variance(Time t0, Real, Time dt) const override;
        Real time(const Date& d) const override;
 
        void setForwardMeasureTime(Time t) override;
 
        Real sigma(Time t) const;
        Real reversion(Time t) const;
        Real y(Time t) const;
        Real G(Time t, Time T, Real x) const;
        void flushCache() const;
 
      private:
        void checkT(Time t) const;
        const detail::GsrProcessCore core_;
        Date referenceDate_;
        DayCounter dc_;
    };
 
    // inline definitions
 
    inline void GsrProcess::setForwardMeasureTime(Time t) {
        flushCache();
        ForwardMeasureProcess1D::setForwardMeasureTime(t);
    }
 
    inline void GsrProcess::flushCache() const {
        core_.flushCache();
    }
 
} // namesapce QuantLib
 
#endif