QuantLib 0.3.11
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Reference manual
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StochasticProcess1D Class Reference#include <ql/stochasticprocess.hpp>
Inheritance diagram for StochasticProcess1D:
[legend]List of all members.
Detailed Description
1-dimensional stochastic process
This class describes a stochastic process governed by
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Public Member Functions |
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virtual Real | x0 () const =0 |
| returns the initial value of the state variable
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virtual Real | drift (Time t, Real x) const =0 |
| returns the drift part of the equation, i.e.
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virtual Real | diffusion (Time t, Real x) const =0 |
| returns the diffusion part of the equation, i.e.
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virtual Real | expectation (Time t0, Real x0, Time dt) const |
virtual Real | stdDeviation (Time t0, Real x0, Time dt) const |
virtual Real | variance (Time t0, Real x0, Time dt) const |
virtual Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
virtual Real | apply (Real x0, Real dx) const |
Protected Member Functions |
| StochasticProcess1D (const boost::shared_ptr< discretization > &) |
Protected Attributes |
boost::shared_ptr< discretization > | discretization_ |
Classes |
class | discretization |
| discretization of a 1-D stochastic process More...
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Member Function Documentation
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returns the expectation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in OrnsteinUhlenbeckProcess. |
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returns the standard deviation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in OrnsteinUhlenbeckProcess. |
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returns the variance of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in OrnsteinUhlenbeckProcess. |
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returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and the standard deviation. |
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