/src/quantlib/ql/models/shortrate/twofactormodel.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
5 | | Copyright (C) 2005 StatPro Italia srl |
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/models/shortrate/twofactormodel.hpp> |
22 | | #include <ql/processes/stochasticprocessarray.hpp> |
23 | | |
24 | | namespace QuantLib { |
25 | | |
26 | | TwoFactorModel::TwoFactorModel(Size nArguments) |
27 | 0 | : ShortRateModel(nArguments) {} |
28 | | |
29 | | ext::shared_ptr<Lattice> |
30 | 0 | TwoFactorModel::tree(const TimeGrid& grid) const { |
31 | 0 | ext::shared_ptr<ShortRateDynamics> dyn = dynamics(); |
32 | |
|
33 | 0 | ext::shared_ptr<TrinomialTree> tree1( |
34 | 0 | new TrinomialTree(dyn->xProcess(), grid)); |
35 | 0 | ext::shared_ptr<TrinomialTree> tree2( |
36 | 0 | new TrinomialTree(dyn->yProcess(), grid)); |
37 | |
|
38 | 0 | return ext::shared_ptr<Lattice>( |
39 | 0 | new TwoFactorModel::ShortRateTree(tree1, tree2, dyn)); |
40 | 0 | } |
41 | | |
42 | | TwoFactorModel::ShortRateTree::ShortRateTree( |
43 | | const ext::shared_ptr<TrinomialTree>& tree1, |
44 | | const ext::shared_ptr<TrinomialTree>& tree2, |
45 | | const ext::shared_ptr<ShortRateDynamics>& dynamics) |
46 | 0 | : TreeLattice2D<TwoFactorModel::ShortRateTree,TrinomialTree>( |
47 | 0 | tree1, tree2, dynamics->correlation()), |
48 | 0 | dynamics_(dynamics) {} |
49 | | |
50 | | ext::shared_ptr<StochasticProcess> |
51 | 0 | TwoFactorModel::ShortRateDynamics::process() const { |
52 | 0 | Matrix correlation(2,2); |
53 | 0 | correlation[0][0] = correlation[1][1] = 1.0; |
54 | 0 | correlation[0][1] = correlation[1][0] = correlation_; |
55 | 0 | std::vector<ext::shared_ptr<StochasticProcess1D> > processes(2); |
56 | 0 | processes[0] = xProcess_; |
57 | 0 | processes[1] = yProcess_; |
58 | 0 | return ext::shared_ptr<StochasticProcess>( |
59 | 0 | new StochasticProcessArray(processes,correlation)); |
60 | 0 | } |
61 | | |
62 | | } |