GaussianProcess.cpp

Go to the documentation of this file.

#include "GaussianProcess.h"
#include <math.h>
#include <cmath>
#include<valarray>
using namespace std;

GaussianProcess::GaussianProcess(const valarray<LongInteger> schedule,
                                                                         const LongNatural& nDates,
                                                                         const Real &initialRate,
                                                                         const valarray<Real> drift,
                                                                         const Real &meanReversionSpeed,
                                                                         Real &vol)
{
        m_vDates.resize(nDates+1);
        m_vDrift.resize(nDates);
        m_vDates=schedule;
        m_vDrift=drift;
        m_dbMeanReversionSpeed = meanReversionSpeed;
        m_dbVol = vol;
        m_dbInitialRate = initialRate;
        m_nDates = nDates;
        m_vStepSize.resize(m_nDates);
        
        for(Natural i=0;i<nDates;++i)
                m_vStepSize[i] = (schedule[i+1]-schedule[i])/365;
}

GaussianProcess::GaussianProcess(const valarray<LongInteger> schedule,
                                                                         const LongNatural& nDates,
                                                                         const Real &initialRate,
                                                                         const valarray<Real> drift,
                                                                         const Real &meanReversionSpeed,
                                                                         volsurface* vol,
                                                                         Real strike)
{
        m_vDates.resize(nDates+1);
        m_vDrift.resize(nDates);
        m_vDates=schedule;
        m_vDrift=drift;
        m_dbMeanReversionSpeed = meanReversionSpeed;
        _vol = vol;
        m_dbVol=-1.;
        m_dbInitialRate = initialRate;
        m_nDates = nDates;
        m_vStepSize.resize(m_nDates);
        _strike=strike;
        
        for(Natural i=0;i<nDates;++i)
                m_vStepSize[i] = (schedule[i+1]-schedule[i])/365;
}

GaussianProcess::GaussianProcess(void)
{
}

GaussianProcess::~GaussianProcess()
{
}

valarray<Real> GaussianProcess::BuildPath(valarray<Real> gaussianShocks)
{
        valarray<Real> path;
        path.resize(m_nDates);
        Real RandomPath,logRandomPath;
        RandomPath = m_dbInitialRate;
        logRandomPath = log(RandomPath);
        if (m_dbVol=-1.) {
                Date t=Date();
                for (LongNatural i=0;i<m_nDates;++i)
                {
                        t=Date(m_vDates[i]);
                        logRandomPath += (m_vDrift[i]-m_dbMeanReversionSpeed*logRandomPath) + _vol->volatility(_strike,t)*gaussianShocks[i]*sqrt(Real(m_vDates[i+1]-m_vDates[i])/365);
                        path[i] = exp(logRandomPath);
                }
        }
        else {
                for (LongNatural i=0;i<m_nDates;++i)
                {
                        logRandomPath += (m_vDrift[i]-m_dbMeanReversionSpeed*logRandomPath) + m_dbVol*gaussianShocks[i]*sqrt(Real(m_vDates[i+1]-m_vDates[i])/365);
                        path[i] = exp(logRandomPath);
                }
        }
        return path;
}

Real GaussianProcess::BuildTerminalPoint(Real gaussianShock){
        Real path;
        Real logRandomPath;
        logRandomPath = log(m_dbInitialRate)+(m_vDrift[0]) + m_dbVol*gaussianShock*sqrt(Real((m_vDates[1]-m_vDates[0])/365));
        path = exp(logRandomPath);
        return path;
}


void GaussianProcess::GetStepIncrements(valarray<Real> stepIncrements)
{
        LongNatural i;
        for(i=0;i<m_nDates;++i)
                stepIncrements[i] = m_vStepSize[i];
}

---