extendedornsteinuhlenbeckprocess.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 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.
*/
 
/*! \file extendedornsteinuhlenbeckprocess.hpp
    \brief extended Ornstein-Uhlenbeck process
*/
 
#ifndef quantlib_extended_ornstein_uhlenbeck_process_hpp
#define quantlib_extended_ornstein_uhlenbeck_process_hpp
 
#include <ql/stochasticprocess.hpp>
#include <ql/functional.hpp>
 
namespace QuantLib {
 
    class OrnsteinUhlenbeckProcess;
 
    //! Extended Ornstein-Uhlenbeck process class
    /*! This class describes the Ornstein-Uhlenbeck process governed by
        \f[
            dx = a (b(t) - x_t) dt + \sigma dW_t.
        \f]
 
        \ingroup processes
    */
    class ExtendedOrnsteinUhlenbeckProcess : public StochasticProcess1D {
      public:
        enum Discretization { MidPoint, Trapezodial, GaussLobatto };
 
        ExtendedOrnsteinUhlenbeckProcess(Real speed,
                                         Volatility sigma,
                                         Real x0,
                                         ext::function<Real(Real)> b,
                                         Discretization discretization = MidPoint,
                                         Real intEps = 1e-4);
 
        //! \name StochasticProcess interface
        //@{
        Real x0() const override;
        Real speed() const;
        Real volatility() const;
        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;
        //@}
      private:
        const Real speed_;
        const Volatility vol_;
        const ext::function<Real (Real)> b_;
        const Real intEps_;
        const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess_;
        const Discretization discretization_;
    };
}
 
 
#endif