1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007, 2008 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 jointstochasticprocess.hpp
21 \brief multi model process for hybrid products
22*/
23
24#ifndef quantlib_joint_stochastic_process_hpp
25#define quantlib_joint_stochastic_process_hpp
26
27#include <ql/utilities/null.hpp>
28#include <ql/stochasticprocess.hpp>
29#include <vector>
30#include <map>
31
32namespace QuantLib {
33
34 class JointStochasticProcess : public StochasticProcess {
35 public:
36 JointStochasticProcess(std::vector<ext::shared_ptr<StochasticProcess> > l,
37 Size factors = Null<Size>());
38
39 Size size() const override;
40 Size factors() const override;
41
42 Array initialValues() const override;
43 Array drift(Time t, const Array& x) const override;
44 Array expectation(Time t0, const Array& x0, Time dt) const override;
45
46 Matrix diffusion(Time t, const Array& x) const override;
47 Matrix covariance(Time t0, const Array& x0, Time dt) const override;
48 Matrix stdDeviation(Time t0, const Array& x0, Time dt) const override;
49
50 Array apply(const Array& x0, const Array& dx) const override;
51 Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;
52
53 virtual void preEvolve(Time t0, const Array& x0,
54 Time dt, const Array& dw) const = 0;
55 virtual Array postEvolve(Time t0, const Array& x0,
56 Time dt, const Array& dw,
57 const Array& y0) const = 0;
58
59 virtual DiscountFactor numeraire(Time t, const Array& x) const = 0;
60 virtual bool correlationIsStateDependent() const = 0;
61 virtual Matrix crossModelCorrelation(Time t0, const Array& x0) const = 0;
62
63 const std::vector<ext::shared_ptr<StochasticProcess> > &
64 constituents() const;
65
66 void update() override;
67 Time time(const Date& date) const override;
68
69 protected:
70 std::vector<ext::shared_ptr<StochasticProcess> > l_;
71 Array slice(const Array& x, Size i) const;
72
73 private:
74 typedef
75 std::vector<ext::shared_ptr<StochasticProcess> >::const_iterator
76 const_iterator;
77
78 typedef std::vector<ext::shared_ptr<StochasticProcess> >::iterator
79 iterator;
80
81 Size size_ = 0, factors_, modelFactors_ = 0;
82 std::vector<Size> vsize_, vfactors_;
83
84 struct CachingKey {
85 CachingKey(const Time t0, const Time dt)
86 : t0_(t0), dt_(dt) {}
87
88 bool operator<(const CachingKey& key) const {
89 return t0_ < key.t0_
90 || ( t0_ == key.t0_ && dt_ < key.dt_);
91 }
92 Time t0_;
93 Time dt_;
94 };
95
96 mutable std::map<CachingKey, Matrix> correlationCache_;
97 };
98
99}
100
101
102#endif
103

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