DiffusionProcess Class Reference#include <ql/diffusionprocess.hpp>
Inheritance diagram for DiffusionProcess:
[legend]List of all members.
Detailed Description
Diffusion process class.
This class describes a stochastic process governed by
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Public Member Functions |
| DiffusionProcess (double x0) |
double | x0 () const |
virtual double | drift (Time t, double x) const=0 |
| returns the drift part of the equation, i.e.
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virtual double | diffusion (Time t, double x) const=0 |
virtual double | expectation (Time t0, double x0, Time dt) const |
| returns the expectation of the process after a time interval
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virtual 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
virtual double diffusion |
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Time |
t, |
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double |
x |
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const [pure virtual] |
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virtual 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 in OrnsteinUhlenbeckProcess. |
virtual 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 in OrnsteinUhlenbeckProcess. |
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