QuantLib 0.3.11
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Reference manual
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EulerDiscretization Class Reference#include <ql/Processes/eulerdiscretization.hpp>
Inheritance diagram for EulerDiscretization:
[legend]List of all members.
Detailed Description
Euler discretization for stochastic processes.
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Public Member Functions |
Disposable< Array > | drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
Real | drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const |
Disposable< Matrix > | diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
Real | diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const |
Disposable< Matrix > | covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
Real | variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const |
Member Function Documentation
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