| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|
| 2 | |
|---|
| 3 | /* |
|---|
| 4 | Copyright (C) 2020 Lew Wei Hao |
|---|
| 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 | #include <ql/processes/coxingersollrossprocess.hpp> |
|---|
| 21 | |
|---|
| 22 | namespace QuantLib { |
|---|
| 23 | |
|---|
| 24 | CoxIngersollRossProcess::CoxIngersollRossProcess(Real speed, |
|---|
| 25 | Volatility vol, |
|---|
| 26 | Real x0, |
|---|
| 27 | Real level) |
|---|
| 28 | : x0_(x0), speed_(speed), level_(level), volatility_(vol) { |
|---|
| 29 | QL_REQUIRE(volatility_ >= 0.0, "negative volatility given" ); |
|---|
| 30 | } |
|---|
| 31 | |
|---|
| 32 | Real CoxIngersollRossProcess::variance(Time, Real, Time dt) const { |
|---|
| 33 | Real exponent1 = std::exp(x: -speed_ * dt); |
|---|
| 34 | Real exponent2 = std::exp(x: -2 * speed_ * dt); |
|---|
| 35 | Real fraction = (volatility_ * volatility_) / speed_; |
|---|
| 36 | |
|---|
| 37 | return x0_ * fraction * (exponent1 - exponent2) + level_ * fraction * (1 - exponent1) * (1 - exponent1); |
|---|
| 38 | } |
|---|
| 39 | |
|---|
| 40 | } |
|---|
| 41 | |
|---|
| 42 | |
|---|
