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 gemanroncoroniprocess.hpp
21 \brief Geman-Roncoroni process
22*/
23
24#ifndef quantlib_geman_roncoroni_process_hpp
25#define quantlib_geman_roncoroni_process_hpp
26
27#include <ql/stochasticprocess.hpp>
28#include <ql/math/randomnumbers/rngtraits.hpp>
29
30namespace QuantLib {
31
32 //! Geman-Roncoroni process class
33 /*! This class describes the Geman-Roncoroni process governed by
34 \f[
35 \begin{array}{rcl}
36 dE(t) &=& \left[ \frac{\partial}{\partial t} \mu(t)
37 +\theta_1 \left(\mu(t)-E(t^-)\right)\right]dt
38 +\sigma dW(t) + h(E(t^-))dJ(t) \\
39 \mu(t)&=& \alpha + \beta t +\gamma \cos(\epsilon+2\pi t)
40 +\delta \cos(\zeta + 4\pi t)
41 \end{array}
42 \f]
43
44 \ingroup processes
45 */
46 class GemanRoncoroniProcess : public StochasticProcess1D {
47 public:
48 GemanRoncoroniProcess(Real x0,
49 Real alpha, Real beta,
50 Real gamma, Real delta,
51 Real eps, Real zeta, Real d,
52 Real k, Real tau,
53 Real sig2, Real a, Real b,
54 Real theta1, Real theta2, Real theta3,
55 Real psi);
56
57 Real x0() const override;
58 Real drift(Time t, Real x) const override;
59 Real diffusion(Time t, Real x) const override;
60 Real stdDeviation(Time t0, Real x0, Time dt) const override;
61 Real evolve(Time t0, Real x0, Time dt, Real dw) const override;
62
63 Real evolve(Time t0, Real x0, Time dt, Real dw, const Array& du) const;
64
65 private:
66 // avoid clang++ warnings
67 using StochasticProcess::evolve;
68
69 const Real x0_;
70 const Real alpha_, beta_, gamma_, delta_;
71 const Real eps_, zeta_, d_;
72 const Real k_, tau_;
73 const Real sig2_, a_, b_;
74 const Real theta1_, theta2_, theta3_;
75 const Real psi_;
76 mutable ext::shared_ptr<PseudoRandom::urng_type> urng_;
77 };
78}
79
80
81#endif
82

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