From 7a21fd8338f3d18397e911c6aaafb18b55a6c614 Mon Sep 17 00:00:00 2001
From: Hrushi20 <hrushikesh20thegreat@gmail.com>
Date: Fri, 29 Mar 2024 12:07:24 +0530
Subject: [PATCH] added nterest-rate term structure in g2process constructor

Signed-off-by: Hrushi20 <hrushikesh20thegreat@gmail.com>
---
 ql/processes/g2process.cpp | 19 +++++++++++++------
 ql/processes/g2process.hpp |  7 +++++--
 2 files changed, 18 insertions(+), 8 deletions(-)

diff --git a/ql/processes/g2process.cpp b/ql/processes/g2process.cpp
index 45f58b9c7c2..db8a6cabdb7 100644
--- a/ql/processes/g2process.cpp
+++ b/ql/processes/g2process.cpp
@@ -22,10 +22,10 @@
 
 namespace QuantLib {
 
-    G2Process::G2Process(Real a, Real sigma, Real b, Real eta, Real rho)
+    G2Process::G2Process(const Handle<YieldTermStructure>& h, Real a, Real sigma, Real b, Real eta, Real rho)
     : a_(a), sigma_(sigma), b_(b), eta_(eta), rho_(rho),
       xProcess_(new QuantLib::OrnsteinUhlenbeckProcess(a, sigma, 0.0)),
-      yProcess_(new QuantLib::OrnsteinUhlenbeckProcess(b, eta, 0.0)) {}
+      yProcess_(new QuantLib::OrnsteinUhlenbeckProcess(b, eta, 0.0)), h_(h) {}
 
     Size G2Process::size() const {
         return 2;
@@ -36,9 +36,16 @@ namespace QuantLib {
     }
 
     Array G2Process::drift(Time t, const Array& x) const {
+        Real alpha_drift = sigma_*sigma_/(2*a_)*(1-std::exp(-2*a_*t));
+        Real shift = 0.0001;
+        Real f = h_->forwardRate(t, t, Continuous, NoFrequency);
+        Real fup = h_->forwardRate(t+shift, t+shift, Continuous, NoFrequency);
+        Real f_prime = (fup-f)/shift;
+        alpha_drift += a_*f+f_prime;
+
         return {
-            xProcess_->drift(t, x[0]),
-            yProcess_->drift(t, x[1])
+            xProcess_->drift(t, x[0]) + alpha_drift,
+            yProcess_->drift(t, x[1]) + alpha_drift
         };
     }
 
@@ -124,10 +131,10 @@ namespace QuantLib {
     }
 
 
-    G2ForwardProcess::G2ForwardProcess(Real a, Real sigma, Real b, Real eta, Real rho)
+    G2ForwardProcess::G2ForwardProcess(const Handle<YieldTermStructure>& h, Real a, Real sigma, Real b, Real eta, Real rho)
     : a_(a), sigma_(sigma), b_(b), eta_(eta), rho_(rho),
       xProcess_(new QuantLib::OrnsteinUhlenbeckProcess(a, sigma, 0.0)),
-      yProcess_(new QuantLib::OrnsteinUhlenbeckProcess(b, eta, 0.0)) {}
+      yProcess_(new QuantLib::OrnsteinUhlenbeckProcess(b, eta, 0.0)),h_(h) {}
 
     Size G2ForwardProcess::size() const {
         return 2;
diff --git a/ql/processes/g2process.hpp b/ql/processes/g2process.hpp
index b2cfaf3caac..7c6b1319266 100644
--- a/ql/processes/g2process.hpp
+++ b/ql/processes/g2process.hpp
@@ -26,6 +26,7 @@
 
 #include <ql/processes/forwardmeasureprocess.hpp>
 #include <ql/processes/ornsteinuhlenbeckprocess.hpp>
+#include <ql/termstructures/yieldtermstructure.hpp>
 
 namespace QuantLib {
 
@@ -33,7 +34,7 @@ namespace QuantLib {
     /*! \ingroup processes */
     class G2Process : public StochasticProcess {
       public:
-        G2Process(Real a, Real sigma, Real b, Real eta, Real rho);
+        G2Process(const Handle<YieldTermStructure>& h, Real a, Real sigma, Real b, Real eta, Real rho);
         //! \name StochasticProcess interface
         //@{
         Size size() const override;
@@ -55,13 +56,14 @@ namespace QuantLib {
         Real x0_ = 0.0, y0_ = 0.0, a_, sigma_, b_, eta_, rho_;
         ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> xProcess_;
         ext::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> yProcess_;
+        Handle<YieldTermStructure> h_;
     };
 
     //! %Forward %G2 stochastic process
     /*! \ingroup processes */
     class G2ForwardProcess : public ForwardMeasureProcess {
       public:
-        G2ForwardProcess(Real a, Real sigma, Real b, Real eta, Real rho);
+        G2ForwardProcess(const Handle<YieldTermStructure>& h, Real a, Real sigma, Real b, Real eta, Real rho);
         //! \name StochasticProcess interface
         //@{
         Size size() const override;
@@ -80,6 +82,7 @@ namespace QuantLib {
         Real yForwardDrift(Time t, Time T) const;
         Real Mx_T(Real s, Real t, Real T) const;
         Real My_T(Real s, Real t, Real T) const;
+        Handle<YieldTermStructure> h_;
     };
 
 }