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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2003 Ferdinando Ametrano

 Copyright (C) 2004, 2005, 2006, 2007 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

 <https://www.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/processes/ornsteinuhlenbeckprocess.hpp>

namespace QuantLib {

    OrnsteinUhlenbeckProcess::OrnsteinUhlenbeckProcess(Real speed,

                                                       Volatility vol,

                                                       Real x0,

                                                       Real level)

    : x0_(x0), speed_(speed), level_(level), volatility_(vol) {

        QL_REQUIRE(volatility_ >= 0.0, "negative volatility given");

    }

    Real OrnsteinUhlenbeckProcess::variance(Time, Real, Time dt) const {

        if (std::fabs(speed_) < std::sqrt(QL_EPSILON)) {

             // algebraic limit for small speed

            return volatility_*volatility_*dt;

        } else {

            return 0.5*volatility_*volatility_/speed_*

                (1.0 - std::exp(-2.0*speed_*dt));

        }

    }

}