- QuantLib
- ExtOUWithJumpsProcess
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>

Public Member Functions | |
| ExtOUWithJumpsProcess (const boost::shared_ptr< ExtendedOrnsteinUhlenbeckProcess > &process, Real Y0, Real beta, Real jumpIntensity, Real eta) | |
| 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., | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. | |
| 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 |
This class describes a Ornstein Uhlenbeck model plus exp jump, an extension of the Lucia and Schwartz model
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
returns the asset value after a time interval
according to the given discretization. By default, it returns
where
is the expectation and
the standard deviation.
Reimplemented from StochasticProcess.