/usr/include/ql/experimental/processes/extouwithjumpsprocess.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2011 Klaus Spanderen
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 extouwithjumpsprocess.hpp
\brief Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
*/
#ifndef quantlib_ext_ou_with_jumps_process_hpp
#define quantlib_ext_ou_with_jumps_process_hpp
#include <ql/stochasticprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
namespace QuantLib {
class ExtendedOrnsteinUhlenbeckProcess;
/*! This class describes a Ornstein Uhlenbeck model plus exp jump,
an extension of the Lucia and Schwartz model
\f[
\begin{array}{rcl}
S &=& exp(X_t + Y_t) \\
dX_t &=& \alpha(\mu(t)-X_t)dt + \sigma dW_t \\
dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\
\omega(J)&=& \eta_u e^{-\eta_u J}
\end{array}
\f]
\ingroup processes
*/
/*! References:
T. Kluge, 2008. Pricing Swing Options and other
Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf
B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing
swing options in electricity markets,
http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
*/
class ExtOUWithJumpsProcess : public StochasticProcess {
public:
ExtOUWithJumpsProcess(
const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& process,
Real Y0, Real beta, Real jumpIntensity, Real eta);
Size size() const;
Size factors() 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> evolve(Time t0, const Array& x0,
Time dt, const Array& dw) const;
boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>
getExtendedOrnsteinUhlenbeckProcess() const;
Real beta() const;
Real eta() const;
Real jumpIntensity() const;
private:
const Real Y0_, beta_, jumpIntensity_, eta_;
const boost::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess_;
const CumulativeNormalDistribution cumNormalDist_;
};
}
#endif
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