EulerDiscretization Class Reference
#include <ql/Processes/eulerdiscretization.hpp>
Inheritance diagram for EulerDiscretization:

Detailed Description
Euler discretization for stochastic processes.
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
|
Returns an approximation of the drift defined as Implements StochasticProcess::discretization. |
|
Returns an approximation of the drift defined as Implements StochasticProcess1D::discretization. |
|
Returns an approximation of the diffusion defined as Implements StochasticProcess::discretization. |
|
Returns an approximation of the diffusion defined as Implements StochasticProcess1D::discretization. |
|
Returns an approximation of the covariance defined as Implements StochasticProcess::discretization. |
|
Returns an approximation of the variance defined as Implements StochasticProcess1D::discretization. |