OrnsteinUhlenbeckProcess Class Reference#include <ql/diffusionprocess.hpp>
Inheritance diagram for OrnsteinUhlenbeckProcess:
[legend]List of all members.
Detailed Description
Ornstein-Uhlenbeck process class.
This class describes the Ornstein-Uhlenbeck process governed by
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Public Member Functions |
| OrnsteinUhlenbeckProcess (double speed, double vol, double x0=0.0) |
double | drift (Time t, double x) const |
| returns the drift part of the equation, i.e.
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double | diffusion (Time t, double x) const |
double | expectation (Time t0, double x0, Time dt) const |
| returns the expectation of the process after a time interval
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double | variance (Time t0, double x0, Time dt) const |
| returns the variance of the process after a time interval
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Member Function Documentation
double diffusion |
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Time |
t, |
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double |
x |
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const [virtual] |
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double expectation |
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Time |
t0, |
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double |
x0, |
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Time |
dt |
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const [virtual] |
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returns the expectation of the process after a time interval
returns . By default, it returns the Euler approximation defined by .
Reimplemented from DiffusionProcess. |
double variance |
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Time |
t0, |
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double |
x0, |
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Time |
dt |
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const [virtual] |
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returns the variance of the process after a time interval
returns . By default, it returns the Euler approximation defined by .
Reimplemented from DiffusionProcess. |
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