batesprocess.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 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.
*/
 
#ifndef quantlib_bates_process_hpp
#define quantlib_bates_process_hpp
 
#include <ql/processes/hestonprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
 
 
namespace QuantLib {
 
 
    class BatesProcess : public HestonProcess {
    public:
        BatesProcess(const Handle<YieldTermStructure>& riskFreeRate,
                     const Handle<YieldTermStructure>& dividendYield,
                     const Handle<Quote>& s0,
                     Real v0, Real kappa,
                     Real theta, Real sigma, Real rho,
                     Real lambda, Real nu, Real delta,
                     HestonProcess::Discretization d
                         = HestonProcess::FullTruncation);
 
        Size factors() const override;
        Array drift(Time t, const Array& x) const override;
        Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;
 
        Real lambda() const;
        Real nu()     const;
        Real delta()  const;
      private:
        const Real lambda_, delta_, nu_, m_;
        const CumulativeNormalDistribution cumNormalDist_;
    };
}
 
 
#endif