QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
KlugeExtOUProcess Class Reference

#include <ql/experimental/processes/klugeextouprocess.hpp>

+ Inheritance diagram for KlugeExtOUProcess:

Public Member Functions

 KlugeExtOUProcess (Real rho, const boost::shared_ptr< ExtOUWithJumpsProcess > &kluge, const boost::shared_ptr< ExtendedOrnsteinUhlenbeckProcess > &extOU)
 
Size size () const
 returns the number of dimensions of the stochastic process
 
Size factors () const
 returns the number of independent factors of the process
 
Disposable< ArrayinitialValues () const
 returns the initial values of the state variables
 
Disposable< Arraydrift (Time t, const Array &x) const
 returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
 
Disposable< Matrixdiffusion (Time t, const Array &x) const
 returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
 
Disposable< Arrayevolve (Time t0, const Array &x0, Time dt, const Array &dw) const
 
boost::shared_ptr< ExtOUWithJumpsProcessgetKlugeProcess () const
 
boost::shared_ptr< ExtendedOrnsteinUhlenbeckProcessgetExtOUProcess () const
 
Real rho () const
 
- Public Member Functions inherited from StochasticProcess
virtual Disposable< Arrayexpectation (Time t0, const Array &x0, Time dt) const
 
virtual Disposable< MatrixstdDeviation (Time t0, const Array &x0, Time dt) const
 
virtual Disposable< Matrixcovariance (Time t0, const Array &x0, Time dt) const
 
virtual Disposable< Arrayapply (const Array &x0, const Array &dx) const
 
virtual Time time (const Date &) const
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from StochasticProcess
 StochasticProcess (const boost::shared_ptr< discretization > &)
 
- Protected Attributes inherited from StochasticProcess
boost::shared_ptr< discretizationdiscretization_
 

Detailed Description

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by

\[ \begin{array}{rcl} P_t &=& \exp(p_t + X_t + Y_t) \\ dX_t &=& -\alpha X_tdt + \sigma_x dW_t^x \\ dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\ \omega(J) &=& \eta e^{-\eta J} \\ G_t &=& \exp(g_t + U_t) \\ dU_t &=& -\kappa U_tdt + \sigma_udW_t^u \\ \rho &=& \mathrm{corr} (dW_t^x, dW_t^u) \end{array} \]

References: 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

Member Function Documentation

Disposable<Array> evolve ( Time  t0,
const Array x0,
Time  dt,
const Array dw 
) const
virtual

returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns

\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]

where \( E \) is the expectation and \( S \) the standard deviation.

Reimplemented from StochasticProcess.