/src/quantlib/ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2010 SunTrust Bank |
5 | | Copyright (C) 2010 Cavit Hafizoglu |
6 | | |
7 | | This file is part of QuantLib, a free-software/open-source library |
8 | | for financial quantitative analysts and developers - http://quantlib.org/ |
9 | | |
10 | | QuantLib is free software: you can redistribute it and/or modify it |
11 | | under the terms of the QuantLib license. You should have received a |
12 | | copy of the license along with this program; if not, please email |
13 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
14 | | <https://www.quantlib.org/license.shtml>. |
15 | | |
16 | | This program is distributed in the hope that it will be useful, but WITHOUT |
17 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
18 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
19 | | */ |
20 | | |
21 | | #include <ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp> |
22 | | #include <utility> |
23 | | |
24 | | namespace QuantLib { |
25 | | |
26 | | GeneralizedOrnsteinUhlenbeckProcess::GeneralizedOrnsteinUhlenbeckProcess( |
27 | | std::function<Real(Time)> speed, std::function<Real(Time)> vol, Real x0, Real level) |
28 | 0 | : x0_(x0), level_(level), speed_(std::move(speed)), volatility_(std::move(vol)) { |
29 | |
|
30 | 0 | QL_REQUIRE(x0 >= 0.0, "negative initial data given"); |
31 | 0 | QL_REQUIRE(level >= 0.0, "negative level given"); |
32 | 0 | } |
33 | | |
34 | 0 | Real GeneralizedOrnsteinUhlenbeckProcess::x0() const { |
35 | 0 | return x0_; |
36 | 0 | } |
37 | | |
38 | 0 | Real GeneralizedOrnsteinUhlenbeckProcess::drift(Time t, Real x) const { |
39 | 0 | return speed_(t) * (level_ - x);; |
40 | 0 | } |
41 | | |
42 | 0 | Real GeneralizedOrnsteinUhlenbeckProcess::diffusion(Time t, Real) const { |
43 | 0 | return volatility_(t); |
44 | 0 | } |
45 | | |
46 | | Real GeneralizedOrnsteinUhlenbeckProcess::expectation( |
47 | 0 | Time t, Real x0, Time dt) const { |
48 | 0 | return level_ + (x0 - level_) * std::exp(-speed_(t)*dt); |
49 | 0 | } |
50 | | |
51 | | Real GeneralizedOrnsteinUhlenbeckProcess::stdDeviation( |
52 | 0 | Time t, Real x0, Time dt) const { |
53 | 0 | return std::sqrt(variance(t,x0,dt)); |
54 | 0 | } |
55 | | |
56 | | Real GeneralizedOrnsteinUhlenbeckProcess::variance( |
57 | 0 | Time t, Real, Time dt) const { |
58 | 0 | Real speed = speed_(t); |
59 | 0 | Volatility vol = volatility_(t); |
60 | |
|
61 | 0 | if (speed < std::sqrt(QL_EPSILON)) { |
62 | | // algebraic limit for small speed |
63 | 0 | return vol*vol*dt; |
64 | 0 | } else { |
65 | 0 | return 0.5*vol*vol/speed*(1.0 - std::exp(-2.0*speed*dt)); |
66 | 0 | } |
67 | 0 | } |
68 | | |
69 | | |
70 | 0 | Real GeneralizedOrnsteinUhlenbeckProcess::speed(Time t) const { |
71 | 0 | return speed_(t); |
72 | 0 | } |
73 | | |
74 | 0 | Real GeneralizedOrnsteinUhlenbeckProcess::volatility(Time t) const { |
75 | 0 | return volatility_(t); |
76 | 0 | } |
77 | | |
78 | 0 | Real GeneralizedOrnsteinUhlenbeckProcess::level() const { |
79 | 0 | return level_; |
80 | 0 | } |
81 | | |
82 | | } |
83 | | |