/src/quantlib/ql/processes/squarerootprocess.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2003 Ferdinando Ametrano |
5 | | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
6 | | Copyright (C) 2004, 2005 StatPro Italia srl |
7 | | |
8 | | This file is part of QuantLib, a free-software/open-source library |
9 | | for financial quantitative analysts and developers - http://quantlib.org/ |
10 | | |
11 | | QuantLib is free software: you can redistribute it and/or modify it |
12 | | under the terms of the QuantLib license. You should have received a |
13 | | copy of the license along with this program; if not, please email |
14 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
15 | | <https://www.quantlib.org/license.shtml>. |
16 | | |
17 | | This program is distributed in the hope that it will be useful, but WITHOUT |
18 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
19 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
20 | | */ |
21 | | |
22 | | #include <ql/processes/squarerootprocess.hpp> |
23 | | |
24 | | namespace QuantLib { |
25 | | |
26 | | SquareRootProcess::SquareRootProcess( |
27 | | Real b, Real a, Volatility sigma, Real x0, |
28 | | const ext::shared_ptr<discretization>& disc) |
29 | 0 | : StochasticProcess1D(disc), x0_(x0), mean_(b), speed_(a), |
30 | 0 | volatility_(sigma) {} |
31 | | |
32 | 0 | Real SquareRootProcess::x0() const { |
33 | 0 | return x0_; |
34 | 0 | } |
35 | | |
36 | 0 | Real SquareRootProcess::drift(Time, Real x) const { |
37 | 0 | return speed_*(mean_ - x); |
38 | 0 | } |
39 | | |
40 | 0 | Real SquareRootProcess::diffusion(Time, Real x) const { |
41 | 0 | return volatility_*std::sqrt(x); |
42 | 0 | } |
43 | | |
44 | | } |