21247173144

Committed 22 Jan 2026 11:44AM UTC coverage: 74.184% (+0.01%) from 74.172%

Build # 21247173144

Build Type

Pull #2414

github

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web-flow

Commit Message

Merge d5c127c70 into 71e800be7

Pull Request Pull Request #2414: Add FX Forward instrument, engine, and tests

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96.36

/ql/processes/mfstateprocess.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2013 Peter Caspers

 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
 <https://www.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.
*/

#include <ql/processes/mfstateprocess.hpp>

namespace QuantLib {

    MfStateProcess::MfStateProcess(Real reversion, Array times, Array vols)
    : reversion_(reversion), times_(std::move(times)), vols_(std::move(vols)) {
        if (reversion_ < QL_EPSILON && -reversion_ < QL_EPSILON)
            reversionZero_ = true;
        checkTimesVols();
    }

    void MfStateProcess::setTimes(Array times) {
        times_ = std::move(times);
        checkTimesVols();
        notifyObservers();
    }

    void MfStateProcess::setVols(Array vols) {
        vols_ = std::move(vols);
        checkTimesVols();
        notifyObservers();
    }

    void MfStateProcess::checkTimesVols() const {
        QL_REQUIRE(times_.size() == vols_.size() - 1,
                   "number of volatilities ("
                       << vols_.size() << ") compared to number of times ("
                       << times_.size() << " must be bigger by one");
        for (int i = 0; i < ((int)times_.size()) - 1; i++)
            QL_REQUIRE(times_[i] < times_[i + 1], "times must be increasing ("
                                                    << times_[i] << "@" << i
                                                    << " , " << times_[i + 1]
                                                    << "@" << i + 1 << ")");
        for (Size i = 0; i < vols_.size(); i++)
            QL_REQUIRE(vols_[i] >= 0.0, "volatilities must be non negative ("
                                           << vols_[i] << "@" << i << ")");
    }

    Real MfStateProcess::x0() const { return 0.0; }

    Real MfStateProcess::drift(Time, Real) const { return 0.0; }

    Real MfStateProcess::diffusion(Time t, Real) const {
        Size i =
            std::upper_bound(times_.begin(), times_.end(), t) - times_.begin();
        return vols_[i];
    }

    Real MfStateProcess::expectation(Time, Real x0, Time dt) const {
        return x0;
    }

    Real MfStateProcess::stdDeviation(Time t, Real x0, Time dt) const {
        return std::sqrt(variance(t, x0, dt));
    }

    Real MfStateProcess::variance(Time t, Real, Time dt) const {

        if (dt < QL_EPSILON)
            return 0.0;
        if (times_.empty())
            return reversionZero_ ? dt
                                  : 1.0 / (2.0 * reversion_) *
                                        (std::exp(2.0 * reversion_ * (t + dt)) -
                                         std::exp(2.0 * reversion_ * t));

        Size i =
            std::upper_bound(times_.begin(), times_.end(), t) - times_.begin();
        Size j = std::upper_bound(times_.begin(), times_.end(), t + dt) -
                 times_.begin();

        Real v = 0.0;

        for (Size k = i; k < j; k++) {
            if (reversionZero_)
                v += vols_[k] * vols_[k] *
                     (times_[k] - std::max(k > 0 ? times_[k - 1] : 0.0, t));
            else
                v += 1.0 / (2.0 * reversion_) * vols_[k] * vols_[k] *
                     (std::exp(2.0 * reversion_ * times_[k]) -
                      std::exp(2.0 * reversion_ *
                               std::max(k > 0 ? times_[k - 1] : 0.0, t)));
        }

        if (reversionZero_)
            v += vols_[j] * vols_[j] *
                 (t + dt - std::max(j > 0 ? times_[j - 1] : 0.0, t));
        else
            v += 1.0 / (2.0 * reversion_) * vols_[j] * vols_[j] *
                 (std::exp(2.0 * reversion_ * (t + dt)) -
                  std::exp(2.0 * reversion_ *
                           (std::max(j > 0 ? times_[j - 1] : 0.0, t))));

        return v;
    }
}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2013 Peter Caspers
5
6	This file is part of QuantLib, a free-software/open-source library
7	for financial quantitative analysts and developers - http://quantlib.org/
8
9	QuantLib is free software: you can redistribute it and/or modify it
10	under the terms of the QuantLib license. You should have received a
11	copy of the license along with this program; if not, please email
12	<quantlib-dev@lists.sf.net>. The license is also available online at
13	<https://www.quantlib.org/license.shtml>.
14
15	This program is distributed in the hope that it will be useful, but WITHOUT
16	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17	FOR A PARTICULAR PURPOSE. See the license for more details.
18	*/
19
20	#include <ql/processes/mfstateprocess.hpp>
21
22	namespace QuantLib {
23
24	MfStateProcess::MfStateProcess(Real reversion, Array times, Array vols)	15✔
25	: reversion_(reversion), times_(std::move(times)), vols_(std::move(vols)) {	15✔
26	if (reversion_ < QL_EPSILON && -reversion_ < QL_EPSILON)	15✔
27	reversionZero_ = true;	2✔
28	checkTimesVols();	15✔
29	}	15✔
30
31	void MfStateProcess::setTimes(Array times) {	12✔
32	times_ = std::move(times);
33	checkTimesVols();	12✔
34	notifyObservers();	12✔
35	}	12✔
36
37	void MfStateProcess::setVols(Array vols) {	142✔
38	vols_ = std::move(vols);
39	checkTimesVols();	142✔
40	notifyObservers();	142✔
41	}	142✔
42
43	void MfStateProcess::checkTimesVols() const {	169✔
44	QL_REQUIRE(times_.size() == vols_.size() - 1,	169✔
45	"number of volatilities ("
46	<< vols_.size() << ") compared to number of times ("
47	<< times_.size() << " must be bigger by one");
48	for (int i = 0; i < ((int)times_.size()) - 1; i++)	1,040✔
49	QL_REQUIRE(times_[i] < times_[i + 1], "times must be increasing ("	871✔
50	<< times_[i] << "@" << i
51	<< " , " << times_[i + 1]
52	<< "@" << i + 1 << ")");
53	for (Size i = 0; i < vols_.size(); i++)	1,359✔
54	QL_REQUIRE(vols_[i] >= 0.0, "volatilities must be non negative ("	1,190✔
55	<< vols_[i] << "@" << i << ")");
56	}	169✔
57
UNCOV 58	Real MfStateProcess::x0() const { return 0.0; }	×
59
UNCOV 60	Real MfStateProcess::drift(Time, Real) const { return 0.0; }	×
61
62	Real MfStateProcess::diffusion(Time t, Real) const {	7✔
63	Size i =
64	std::upper_bound(times_.begin(), times_.end(), t) - times_.begin();	7✔
65	return vols_[i];	7✔
66	}
67
68	Real MfStateProcess::expectation(Time, Real x0, Time dt) const {	13,666✔
69	return x0;	13,666✔
70	}
71
72	Real MfStateProcess::stdDeviation(Time t, Real x0, Time dt) const {	19,855,825✔
73	return std::sqrt(variance(t, x0, dt));	19,855,825✔
74	}
75
76	Real MfStateProcess::variance(Time t, Real, Time dt) const {	19,855,841✔
77
78	if (dt < QL_EPSILON)	19,855,841✔
79	return 0.0;
80	if (times_.empty())	19,571,209✔
81	return reversionZero_ ? dt	15,591,311✔
82	: 1.0 / (2.0 * reversion_) *	15,591,309✔
83	(std::exp(2.0 * reversion_ * (t + dt)) -	15,591,309✔
84	std::exp(2.0 * reversion_ * t));	15,591,309✔
85
86	Size i =
87	std::upper_bound(times_.begin(), times_.end(), t) - times_.begin();	3,979,898✔
88	Size j = std::upper_bound(times_.begin(), times_.end(), t + dt) -	3,979,898✔
89	times_.begin();	3,979,898✔
90
91	Real v = 0.0;
92
93	for (Size k = i; k < j; k++) {	17,104,631✔
94	if (reversionZero_)	13,124,733✔
95	v += vols_[k] * vols_[k] *	14✔
96	(times_[k] - std::max(k > 0 ? times_[k - 1] : 0.0, t));	8✔
97	else
98	v += 1.0 / (2.0 * reversion_) * vols_[k] * vols_[k] *	13,124,726✔
99	(std::exp(2.0 * reversion_ * times_[k]) -	26,249,452✔
100	std::exp(2.0 * reversion_ *	13,124,726✔
101	std::max(k > 0 ? times_[k - 1] : 0.0, t)));	13,127,103✔
102	}
103
104	if (reversionZero_)	3,979,898✔
105	v += vols_[j] * vols_[j] *	12✔
106	(t + dt - std::max(j > 0 ? times_[j - 1] : 0.0, t));	11✔
107	else
108	v += 1.0 / (2.0 * reversion_) * vols_[j] * vols_[j] *	3,979,892✔
109	(std::exp(2.0 * reversion_ * (t + dt)) -	7,959,784✔
110	std::exp(2.0 * reversion_ *	3,979,892✔
111	(std::max(j > 0 ? times_[j - 1] : 0.0, t))));	7,962,054✔
112
113	return v;
114	}
115	}

lballabio / QuantLib / 21247173144

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