QuantLib_KlugeExtOUProcess man page



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

Inherits StochasticProcess.

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< Array > initialValues () const
returns the initial values of the state variables
Disposable< Array > drift (Time t, const Array &x) const
returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t) $
Disposable< Matrix > diffusion (Time t, const Array &x) const
returns the diffusion part of the equation, i.e. $ sigma(t, mathrm{x}_t) $
Disposable< Array > evolve (Time t0, const Array &x0, Time dt, const Array &dw) const
boost::shared_ptr< ExtOUWithJumpsProcess > getKlugeProcess () const
boost::shared_ptr< ExtendedOrnsteinUhlenbeckProcess > getExtOUProcess () const
Real rho () const

Additional Inherited Members

Detailed Description

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by [ begin{array}{rcl} P_t &=& \xp(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) &=& \ta e^{-\ta J} \ G_t &=& \xp(g_t + U_t) \ dU_t &=& -ppa U_tdt + sigma_udW_t^u \ rho &=& mathrm{corr} (dW_t^x, dW_t^u) \nd{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.


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Referenced By

getExtOUProcess(3), getKlugeProcess(3) and KlugeExtOUProcess(3) are aliases of QuantLib_KlugeExtOUProcess(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib