1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2013 Peter Caspers
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 mfstateprocess.hpp
21 \brief State process for markov functional model
22*/
23
24#ifndef quantlib_mfstateprocess_hpp
25#define quantlib_mfstateprocess_hpp
26
27#include <ql/stochasticprocess.hpp>
28
29namespace QuantLib {
30
31 //! Markov functional state process class
32 /*! This class describes the process governed by
33 \f[ dx = \sigma(t) e^{at} dW(t) \f]
34 \ingroup processes
35 */
36 class MfStateProcess : public StochasticProcess1D {
37 public:
38 MfStateProcess(Real reversion, const Array &times, const Array &vols);
39
40 //! \name StochasticProcess interface
41 //@{
42 Real x0() const override;
43 Real drift(Time t, Real x) const override;
44 Real diffusion(Time t, Real x) const override;
45 Real expectation(Time t0, Real x0, Time dt) const override;
46 Real stdDeviation(Time t0, Real x0, Time dt) const override;
47 Real variance(Time t0, Real x0, Time dt) const override;
48 //@}
49 private:
50 Real reversion_;
51 bool reversionZero_ = false;
52 const Array &times_;
53 const Array &vols_;
54 };
55}
56
57#endif
58

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