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

/*

 Copyright (C) 2003 Ferdinando Ametrano

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2004, 2005 StatPro Italia srl

 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 squarerootprocess.hpp

    \brief square-root process

*/

#ifndef quantlib_square_root_process_hpp

#define quantlib_square_root_process_hpp

#include <ql/stochasticprocess.hpp>

#include <ql/processes/eulerdiscretization.hpp>

namespace QuantLib {

    //! Square-root process class

    /*! This class describes a square-root process governed by

        \f[

            dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t.

        \f]

        \ingroup processes

    */

    class SquareRootProcess : public StochasticProcess1D {

      public:

        SquareRootProcess(

            Real b, Real a, Volatility sigma, Real x0 = 0.0,

            const ext::shared_ptr<discretization>& d =

                  ext::shared_ptr<discretization>(new EulerDiscretization));

        //! \name StochasticProcess interface

        //@{

        Real x0() const override;

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

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

        //@}

        Real a() const { return speed_;  }

        Real b() const { return mean_; }

        Real sigma() const { return volatility_; }

      private:

        Real x0_, mean_, speed_;

        Volatility volatility_;

    };

}

#endif