/*
 * diff_BDT.cpp
 *
 * Created on April 11, 2006, 2:25 PM
 *
 * To change this template, choose Tools | Template Manager
 * and open the template in the editor.
 */
#include <vector>
#include <iostream>
#include <fstream>
#include <string>
#include <math.h>
#include "diff.cpp"

using namespace std;

/** The Black Derman Toy interest rate model in differential form, 
 * where r is the short term risk free rate of return, 
 * dt is the time step differential, 
 * r is pulled back to the theta(t) level at a rate of alpha, 
 * a represents the function a(r)=alpha(mu-r) used in 
 * the SDEIntegrator. The first derivative of a, d_a = -alpha. 
 * The sde is an SDEIntegrator used to find r(t+delta_t), where 
 * the function b(r,t) is the constant sigma
 */
class diff_BDT : public diff{
    /**
     * Creates a new instance of diff_BDT with 
     * default values
     */
public: diff_BDT::diff_BDT() {
    }
    /**
     * Creates a new instance of diff_BDT
     */
public: diff_BDT::diff_BDT(double _dt,double _mu,double _alpha, double _sigma, 
                        double _r0) {
    }

    /** sets the a(r) function used in the SDEIntegrator
     for the particular case of the Cox Ingersoll Ross Model
     */
public: void diff_BDT::set_a(){
        a=yield_prime[index]/yield[index] + d_b/b*log(r);
		sde.set_a(a);
    }
public: void diff_BDT::set_d_a(){
        d_a=0.0;
		sde.set_d_a(d_a);
    }
public: void diff_BDT::set_dd_a(){
        dd_a=0.0;
		sde.set_dd_a(dd_a);
    }
    /** sets the b(r,t) function used in the SDEIntegrator*/
public: void diff_BDT::set_b(){
        b = sigma[index];
		sde.set_b(b);
    }
    /** sets the db(r,t)/dr function used in the SDEIntegrator
     */
public: void diff_BDT::set_d_b(){
        d_b  =  sigma_prime[index];
        sde.set_d_b(d_b);
    }
    /** sets the d^2b(r,t)/dr^2 function used in the SDEIntegrator*/
public: void diff_BDT::set_dd_b(){
        dd_b = 0.0;
        sde.set_dd_b(dd_b);
    }
    /** sets the d^3b(r,t)/dr^3 function used in the SDEIntegrator*/
public: void diff_BDT::set_ddd_b(){
        ddd_b = 0.0;
        sde.set_ddd_b(ddd_b);
    }
};