1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2015 Johannes Göttker-Schnetmann
5 Copyright (C) 2015 Klaus Spanderen
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file hestonslvprocess.hpp
22 \brief Heston stochastic local volatility process
23*/
24
25#ifndef quantlib_heston_slv_process_hpp
26#define quantlib_heston_slv_process_hpp
27
28#include <ql/processes/hestonprocess.hpp>
29#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
30
31namespace QuantLib {
32
33 class HestonSLVProcess : public StochasticProcess {
34 public:
35 HestonSLVProcess(const ext::shared_ptr<HestonProcess>& hestonProcess,
36 ext::shared_ptr<LocalVolTermStructure> leverageFct,
37 Real mixingFactor = 1.0);
38
39 Size size() const override { return Size(2); }
40 Size factors() const override { return Size(2); }
41
42 void update() override;
43
44 Array initialValues() const override {
45 return hestonProcess_->initialValues();
46 }
47 Array apply(const Array& x0, const Array& dx) const override {
48 return hestonProcess_->apply(x0, dx);
49 }
50
51 Array drift(Time t, const Array& x) const override;
52 Matrix diffusion(Time t, const Array& x) const override;
53 Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;
54
55 Real v0() const { return v0_; }
56 Real rho() const { return rho_; }
57 Real kappa() const { return kappa_; }
58 Real theta() const { return theta_; }
59 Real sigma() const { return sigma_; }
60 Real mixingFactor() const { return mixingFactor_; }
61 ext::shared_ptr<LocalVolTermStructure> leverageFct() const {
62 return leverageFct_;
63 }
64
65 const Handle<Quote>& s0() const { return hestonProcess_->s0(); }
66 const Handle<YieldTermStructure>& dividendYield() const {
67 return hestonProcess_->dividendYield();
68 }
69 const Handle<YieldTermStructure>& riskFreeRate() const {
70 return hestonProcess_->riskFreeRate();
71 }
72
73 Time time(const Date& d) const override { return hestonProcess_->time(d); }
74
75 private:
76 Real kappa_, theta_, sigma_, rho_, v0_, mixingFactor_, mixedSigma_;
77
78 const ext::shared_ptr<HestonProcess> hestonProcess_;
79 const ext::shared_ptr<LocalVolTermStructure> leverageFct_;
80
81 void setParameters();
82 };
83
84}
85
86#endif
87

source code of quantlib/ql/processes/hestonslvprocess.hpp