Add models for rates and tradeable assets

Project.toml

@@ -8,8 +8,10 @@ Interpolations = "a98d9a8b-a2ab-59e6-89dd-64a1c18fca59"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 Logging = "56ddb016-857b-54e1-b83d-db4d58db5568"
 ProgressBars = "49802e3a-d2f1-5c88-81d8-b72133a6f568"
+QuadGK = "1fd47b50-473d-5c70-9696-f719f8f3bcdc"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 Revise = "295af30f-e4ad-537b-8983-00126c2a3abe"
+SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
 
 [compat]
 Interpolations = "0.14"

docs/Project.toml

@@ -3,4 +3,6 @@ Documenter = "e30172f5-a6a5-5a46-863b-614d45cd2de4"
 Interpolations = "a98d9a8b-a2ab-59e6-89dd-64a1c18fca59"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 ProgressBars = "49802e3a-d2f1-5c88-81d8-b72133a6f568"
+QuadGK = "1fd47b50-473d-5c70-9696-f719f8f3bcdc"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"

docs/src/models/models.md

@@ -2,3 +2,234 @@
 
 In this section we document models for various risk factors.
 
+## Data Structures and Constructors
+
+```@docs
+DiffFusion.Model
+```
+
+```@docs
+DiffFusion.ComponentModel
+```
+
+```@docs
+DiffFusion.AssetModel
+```
+
+```@docs
+DiffFusion.LognormalAssetModel
+```
+
+```@docs
+DiffFusion.lognormal_asset_model
+```
+
+```@docs
+DiffFusion.SeparableHjmModel
+```
+
+```@docs
+DiffFusion.GaussianHjmModel
+```
+
+```@docs
+DiffFusion.gaussian_hjm_model
+```
+
+## State Variable
+
+A model allows to simulate a stochastic process $\left(X_t\right)$. For a given $t$ the vector $X_t$ is represented by a `ModelState`. 
+
+```@docs
+DiffFusion.ModelState
+```
+
+```@docs
+DiffFusion.model_state
+```
+
+```@docs
+DiffFusion.alias_dictionary
+```
+
+## Auxilliary Methods
+
+```@docs
+DiffFusion.alias(m::DiffFusion.Model)
+```
+
+```@docs
+DiffFusion.model_alias
+```
+
+```@docs
+DiffFusion.state_alias
+```
+
+```@docs
+DiffFusion.factor_alias
+```
+
+```@docs
+DiffFusion.parameter_grid
+```
+
+## Model Functions for Payoff Evaluation
+
+```@docs
+DiffFusion.log_asset
+```
+
+```@docs
+DiffFusion.log_bank_account
+```
+
+```@docs
+DiffFusion.log_zero_bond
+```
+
+```@docs
+DiffFusion.log_asset_convexity_adjustment
+```
+
+```@docs
+DiffFusion.log_future
+```
+
+```@docs
+DiffFusion.forward_rate_variance
+```
+
+## Model Functions for Simulation
+
+```@docs
+DiffFusion.Theta
+```
+
+```@docs
+DiffFusion.H_T
+```
+
+```@docs
+DiffFusion.Sigma_T
+```
+
+```@docs
+DiffFusion.state_dependent_Theta
+```
+
+```@docs
+DiffFusion.state_dependent_H
+```
+
+```@docs
+DiffFusion.state_dependent_Sigma
+```
+
+```@docs
+DiffFusion.state_alias_H
+```
+
+```@docs
+DiffFusion.factor_alias_Sigma
+```
+
+```@docs
+DiffFusion.covariance
+```
+
+```@docs
+DiffFusion.volatility_and_correlation
+```
+
+```@docs
+DiffFusion.simulation_parameters
+```
+
+```@docs
+DiffFusion.diagonal_volatility
+```
+
+## Additional Asset Model Functions
+
+```@docs
+DiffFusion.asset_volatility
+```
+
+```@docs
+DiffFusion.correlation_holder(m::DiffFusion.AssetModel)
+```
+
+```@docs
+DiffFusion.quanto_drift
+```
+
+```@docs
+DiffFusion.asset_variance
+```
+
+## Additional Rates Model Functions
+
+```@docs
+DiffFusion.func_y
+```
+
+```@docs
+DiffFusion.chi_hjm
+```
+
+```@docs
+DiffFusion.benchmark_times
+```
+
+```@docs
+DiffFusion.H_hjm
+```
+
+```@docs
+DiffFusion.G_hjm
+```
+
+```@docs
+DiffFusion.benchmark_times_scaling
+```
+
+```@docs
+DiffFusion.func_Theta_x
+```
+
+```@docs
+DiffFusion.func_Theta_x_integrate_y
+```
+
+```@docs
+DiffFusion.func_Theta_s
+```
+
+```@docs
+DiffFusion.func_Theta
+```
+
+```@docs
+DiffFusion.func_H_T
+```
+
+```@docs
+DiffFusion.func_H_T_dense
+```
+
+```@docs
+DiffFusion.func_Sigma_T
+```
+
+```@docs
+DiffFusion.GaussianHjmModelVolatility
+```
+
+```@docs
+DiffFusion.swap_rate_instantaneous_covariance
+```
+
+```@docs
+DiffFusion.swap_rate_variance
+```

src/DiffFusion.jl

@@ -4,6 +4,8 @@ using Interpolations
 using LinearAlgebra
 using ProgressBars
 using Random
+using QuadGK
+using SparseArrays
 
 
 """
@@ -22,7 +24,15 @@ include("termstructures/parameter/ParameterTermstructures.jl")
 include("termstructures/rates/YieldTermstructures.jl")
 include("termstructures/volatility/VolatilityTermstructures.jl")
 
+include("models/Model.jl")
+include("models/asset/AssetModel.jl")
+include("models/asset/LognormalAssetModel.jl")
+include("models/rates/SeparableHjmModel.jl")
+include("models/rates/GaussianHjmModel.jl")
+
+include("utils/Integrations.jl")
 include("utils/InterpolationMethods.jl")
 
 
+
 end