/usr/include/ql/processes/g2process.hpp is in libquantlib0-dev 1.4-2+b1.
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/*
Copyright (C) 2006 Banca Profilo S.p.A.
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file g2process.hpp
\brief G2 stochastic processes
*/
#ifndef quantlib_g2_process_hpp
#define quantlib_g2_process_hpp
#include <ql/processes/forwardmeasureprocess.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
namespace QuantLib {
//! %G2 stochastic process
/*! \ingroup processes */
class G2Process : public StochasticProcess {
public:
G2Process(Real a, Real sigma, Real b, Real eta, Real rho);
//! \name StochasticProcess interface
//@{
Size size() const;
Disposable<Array> initialValues() const;
Disposable<Array> drift(Time t, const Array& x) const;
Disposable<Matrix> diffusion(Time t, const Array& x) const;
Disposable<Array> expectation(Time t0, const Array& x0, Time dt) const;
Disposable<Matrix> stdDeviation(Time t0, const Array& x0,
Time dt) const;
Disposable<Matrix> covariance(Time t0, const Array& x0, Time dt) const;
//@}
Real x0() const;
Real y0() const;
Real a() const;
Real sigma() const;
Real b() const;
Real eta() const;
Real rho() const;
private:
Real x0_, y0_, a_, sigma_, b_, eta_, rho_;
boost::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_;
boost::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_;
};
//! %Forward %G2 stochastic process
/*! \ingroup processes */
class G2ForwardProcess : public ForwardMeasureProcess {
public:
G2ForwardProcess(Real a, Real sigma, Real b, Real eta, Real rho);
//! \name StochasticProcess interface
//@{
Size size() const;
Disposable<Array> initialValues() const;
Disposable<Array> drift(Time t, const Array& x) const;
Disposable<Matrix> diffusion(Time t, const Array& x) const;
Disposable<Array> expectation(Time t0, const Array& x0, Time dt) const;
Disposable<Matrix> stdDeviation(Time t0, const Array& x0,
Time dt) const;
Disposable<Matrix> covariance(Time t0, const Array& x0, Time dt) const;
//@}
protected:
Real x0_, y0_, a_, sigma_, b_, eta_, rho_;
boost::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_;
boost::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_;
Real xForwardDrift(Time t, Time T) const;
Real yForwardDrift(Time t, Time T) const;
Real Mx_T(Real s, Real t, Real T) const;
Real My_T(Real s, Real t, Real T) const;
};
}
#endif
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