StochasticProcess1D Class Reference
#include <ql/stochasticprocess.hpp>
Inheritance diagram for StochasticProcess1D:

Detailed Description
1-dimensional stochastic processThis class describes a stochastic process governed by
Public Member Functions | |
1-D stochastic process interface | |
virtual Real | x0 () const =0 |
returns the initial value of the state variable | |
virtual Real | drift (Time t, Real x) const =0 |
returns the drift part of the equation, i.e. ![]() | |
virtual Real | diffusion (Time t, Real x) const =0 |
returns the diffusion part of the equation, i.e. ![]() | |
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... |
Member Function Documentation
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returns the expectation Reimplemented in OrnsteinUhlenbeckProcess. |
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returns the standard deviation Reimplemented in OrnsteinUhlenbeckProcess. |
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returns the variance Reimplemented in OrnsteinUhlenbeckProcess. |
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returns the asset value after a time interval
where |
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applies a change to the asset value. By default, it returns Reimplemented in BlackScholesProcess, and Merton76Process. |