hestonProcess.hpp

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#ifndef JULIAN_HESTONPROCESS_HPP
#define JULIAN_HESTONPROCESS_HPP

#include <mathematics/stochasticProcesses/stochasticProcess.hpp>

namespace julian {

  class HestonProcess : public StochasticProcess {
  public:
    HestonProcess(){};

    
    HestonProcess(double drift, double mean_rev, double curr_var, double lt_var,  double vov, double corr):
      drift_(drift), mean_rev_(mean_rev), curr_var_(curr_var), lt_var_(lt_var), vov_(vov), corr_(corr) {};
    virtual Path getPath(double, const TimeGrid&, SmartPointer<UniformRNG>& rng) const;
    virtual Path getPath(double, const TimeGrid&, const std::vector<double>& rnds) const;
    virtual HestonProcess* clone() const;
    virtual ~HestonProcess(){};
    
  private:
    double drift_; 
    double mean_rev_; 
    double curr_var_ ; 
    double lt_var_; 
    double vov_; 
    double corr_; 
  };
}  // namespace julian



#endif