OrnsteinUhlenbeckProcess Class Reference
#include <ql/Processes/ornsteinuhlenbeckprocess.hpp>
Inheritance diagram for OrnsteinUhlenbeckProcess:

Detailed Description
Ornstein-Uhlenbeck process class.This class describes the Ornstein-Uhlenbeck process governed by
Public Member Functions | |
OrnsteinUhlenbeckProcess (Real speed, Volatility vol, Real x0=0.0) | |
StochasticProcess interface | |
Real | x0 () const |
returns the initial value of the state variable | |
Real | drift (Time t, Real x) const |
returns the drift part of the equation, i.e. ![]() | |
Real | diffusion (Time t, Real x) const |
returns the diffusion part of the equation, i.e. ![]() | |
Real | expectation (Time t0, Real x0, Time dt) const |
Real | stdDeviation (Time t0, Real x0, Time dt) const |
Real | variance (Time t0, Real x0, Time dt) const |
Member Function Documentation
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returns the expectation Reimplemented from StochasticProcess1D. |
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returns the standard deviation Reimplemented from StochasticProcess1D. |
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returns the variance Reimplemented from StochasticProcess1D. |