StochasticProcess1D::discretization Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for StochasticProcess1D::discretization:

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Detailed Description

discretization of a 1-D stochastic process


Public Member Functions

virtual Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const=0
virtual Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const=0
virtual Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const=0