1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file extouwithjumpsprocess.hpp
21 \brief Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
22*/
23
24#ifndef quantlib_ext_ou_with_jumps_process_hpp
25#define quantlib_ext_ou_with_jumps_process_hpp
26
27#include <ql/stochasticprocess.hpp>
28#include <ql/math/distributions/normaldistribution.hpp>
29
30namespace QuantLib {
31
32 class ExtendedOrnsteinUhlenbeckProcess;
33
34 /*! This class describes a Ornstein Uhlenbeck model plus exp jump,
35 an extension of the Lucia and Schwartz model
36 \f[
37 \begin{array}{rcl}
38 S &=& exp(X_t + Y_t) \\
39 dX_t &=& \alpha(\mu(t)-X_t)dt + \sigma dW_t \\
40 dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\
41 \omega(J)&=& \eta_u e^{-\eta_u J}
42 \end{array}
43 \f]
44
45 \ingroup processes
46 */
47
48
49 /*! References:
50 T. Kluge, 2008. Pricing Swing Options and other
51 Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf
52
53 B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing
54 swing options in electricity markets,
55 http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
56 */
57
58
59 class ExtOUWithJumpsProcess : public StochasticProcess {
60 public:
61 ExtOUWithJumpsProcess(ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process,
62 Real Y0,
63 Real beta,
64 Real jumpIntensity,
65 Real eta);
66
67 Size size() const override;
68 Size factors() const override;
69
70 Array initialValues() const override;
71 Array drift(Time t, const Array& x) const override;
72 Matrix diffusion(Time t, const Array& x) const override;
73 Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;
74
75 ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> getExtendedOrnsteinUhlenbeckProcess() const;
76
77 Real beta() const;
78 Real eta() const;
79 Real jumpIntensity() const;
80
81 private:
82 const Real Y0_, beta_, jumpIntensity_, eta_;
83 const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess_;
84
85 const CumulativeNormalDistribution cumNormalDist_;
86 };
87}
88#endif
89

source code of quantlib/ql/experimental/processes/extouwithjumpsprocess.hpp