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 klugeextouprocess.hpp
21 \brief joint Kluge process an d Ornstein Uhlenbeck process
22*/
23
24#ifndef quantlib_kluge_ext_ou_process_hpp
25#define quantlib_kluge_ext_ou_process_hpp
26
27#include <ql/stochasticprocess.hpp>
28
29namespace QuantLib {
30
31 class ExtOUWithJumpsProcess;
32 class ExtendedOrnsteinUhlenbeckProcess;
33
34 /*! This class describes a correlated Kluge - extended Ornstein-Uhlenbeck
35 process governed by
36 \f[
37 \begin{array}{rcl}
38 P_t &=& \exp(p_t + X_t + Y_t) \\
39 dX_t &=& -\alpha X_tdt + \sigma_x dW_t^x \\
40 dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\
41 \omega(J) &=& \eta e^{-\eta J} \\
42 G_t &=& \exp(g_t + U_t) \\
43 dU_t &=& -\kappa U_tdt + \sigma_udW_t^u \\
44 \rho &=& \mathrm{corr} (dW_t^x, dW_t^u)
45 \end{array}
46 \f]
47 */
48
49 /*! References:
50 B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing
51 swing options in electricity markets,
52 http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
53 */
54
55
56 class KlugeExtOUProcess : public StochasticProcess {
57 public:
58 KlugeExtOUProcess(Real rho,
59 ext::shared_ptr<ExtOUWithJumpsProcess> kluge,
60 ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> extOU);
61
62 Size size() const override;
63 Size factors() const override;
64
65 Array initialValues() const override;
66 Array drift(Time t, const Array& x) const override;
67 Matrix diffusion(Time t, const Array& x) const override;
68 Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;
69
70 ext::shared_ptr<ExtOUWithJumpsProcess> getKlugeProcess() const;
71 ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> getExtOUProcess() const;
72
73 Real rho() const;
74
75 private:
76 const Real rho_, sqrtMRho_;
77 const ext::shared_ptr<ExtOUWithJumpsProcess> klugeProcess_;
78 const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess_;
79 };
80}
81#endif
82

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