klugeextouprocess.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2011 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.
*/
 
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
 
namespace QuantLib {
 
    KlugeExtOUProcess::KlugeExtOUProcess(
        Real rho,
        ext::shared_ptr<ExtOUWithJumpsProcess> klugeProcess,
        ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess)
    : rho_(rho), sqrtMRho_(std::sqrt(1 - rho * rho)), klugeProcess_(std::move(klugeProcess)),
      ouProcess_(std::move(ouProcess)) {
        QL_REQUIRE(klugeProcess_, "null Kluge process");
        QL_REQUIRE(ouProcess_, "null Ornstein-Uhlenbeck process");
    }
 
    Size KlugeExtOUProcess::size() const {
        return klugeProcess_->size() + 1;
    }
 
    Size KlugeExtOUProcess::factors() const {
        return klugeProcess_->factors() + 1;
    }
 
    Array KlugeExtOUProcess::initialValues() const {
        Array retVal(size());
        const Array x0 = klugeProcess_->initialValues();
        std::copy(x0.begin(), x0.end(), retVal.begin());
        retVal.back() = ouProcess_->x0();
 
        return retVal;
    }
 
    Array KlugeExtOUProcess::drift(Time t, const Array& x) const {
        Array retVal(size());
        Array mu = klugeProcess_->drift(t, x);
        std::copy(mu.begin(), mu.end(), retVal.begin());
        retVal.back() = ouProcess_->drift(t, x.back());
 
        return retVal;
    }
 
    Matrix KlugeExtOUProcess::diffusion(Time t, const Array& x) const{
        Matrix retVal(size(), factors(), 0.0);
 
        Volatility vol = ouProcess_->diffusion(t, x.back());
 
        retVal[0][0]              = klugeProcess_->diffusion(t, x)[0][0];
        retVal[size()][0]         = rho_*vol;
        retVal[size()][factors()] = sqrtMRho_*vol;
 
        return retVal;
    }
 
    Array KlugeExtOUProcess::evolve(Time t0, const Array& x0,
                                                Time dt, const Array& dw) const{
        Array retVal(size());
 
        Array ev = klugeProcess_->evolve(t0, x0, dt, dw);
        std::copy(ev.begin(), ev.end(), retVal.begin());
 
        const Real dz = dw.back()*sqrtMRho_ + dw.front()*rho_;
        retVal.back() = ouProcess_->evolve(t0, x0.back(), dt, dz);
 
        return retVal;
    }
 
    ext::shared_ptr<ExtOUWithJumpsProcess>
        KlugeExtOUProcess::getKlugeProcess() const {
        return klugeProcess_;
    }
    ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>
        KlugeExtOUProcess::getExtOUProcess() const {
        return ouProcess_;
    }
 
    Real KlugeExtOUProcess::rho() const {
        return rho_;
    }
 
}