generalizedornsteinuhlenbeckprocess.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 SunTrust Bank
 Copyright (C) 2010 Cavit Hafizoglu
 
 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
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 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file generalizedornsteinuhlenbeckprocess.hpp
    \brief Ornstein-Uhlenbeck process with piecewise linear coefficients
*/
 
#ifndef quantlib_generalized_ornstein_uhlenbeck_process_hpp
#define quantlib_generalized_ornstein_uhlenbeck_process_hpp
 
#include <ql/stochasticprocess.hpp>
#include <ql/functional.hpp>
 
namespace QuantLib {
 
    //! Piecewise linear Ornstein-Uhlenbeck process class
    /*! This class describes the Ornstein-Uhlenbeck process governed by
        \f[
            dx = a (level - x_t) dt + \sigma dW_t
        \f]
 
        \ingroup processes
 
        where the coefficients a and sigma are piecewise linear.
    */
    class GeneralizedOrnsteinUhlenbeckProcess : public StochasticProcess1D {
      public:
        GeneralizedOrnsteinUhlenbeckProcess(ext::function<Real(Time)> speed,
                                            ext::function<Real(Time)> vol,
                                            Real x0 = 0.0,
                                            Real level = 0.0);
        //! \name StochasticProcess1D interface
        //@{
        Real x0() const override;
 
        Real drift(Time t, Real x) const override;
        Real diffusion(Time t, Real x) 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 x0, Time dt) const override;
        //@}
 
        Real speed(Time t) const;
        Real volatility(Time t) const;
        Real level() const;
 
      private:
        Real x0_, level_;
        ext::function<Real (Time)> speed_;
        ext::function<Real (Time)> volatility_;
    };
 
}
 
 
#endif