/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

Copyright (C) 2010 Adrian O' Neill

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 variancegammaprocess.hpp

    \brief Variance Gamma stochastic process

*/

#ifndef quantlib_variance_gamma_process_hpp

#define quantlib_variance_gamma_process_hpp

#include <ql/stochasticprocess.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/quote.hpp>

namespace QuantLib {

    //! Variance gamma process

    /*! This class describes the stochastic volatility

    process.  With a Brownian motion given by

    \f[

        db = \theta dt + \sigma dW_t

    \f]

    then a Variance Gamma process X is defined by evaluating this

    Brownian motion at sample times driven by a Gamma process. If T is

    the value of a Gamma process with mean 1 and variance rate \f$ \nu

    \f$ then the Variance Gamma process is given by

    \f[

        X(t) = B(T)

    \f]

    \ingroup processes

    */

    class VarianceGammaProcess : public StochasticProcess1D {

    public:

      VarianceGammaProcess(Handle<Quote> s0,

                           Handle<YieldTermStructure> dividendYield,

                           Handle<YieldTermStructure> riskFreeRate,

                           Real sigma,

                           Real nu,

                           Real theta);

      Real x0() const override;

      Real drift(Time t, Real x) const override;

      Real diffusion(Time t, Real x) const override;

      Real sigma() const { return sigma_; }

      Real nu() const { return nu_; }

      Real theta() const { return theta_; }

      const Handle<Quote>& s0() const;

      const Handle<YieldTermStructure>& dividendYield() const;

      const Handle<YieldTermStructure>& riskFreeRate() const;

    private:

        Handle<Quote> s0_;

        Handle<YieldTermStructure> dividendYield_, riskFreeRate_;

        Real sigma_, nu_, theta_;

    };

}

#endif