GeometricBrownianMotionProcess Class Reference
[Stochastic processes]

#include <ql/processes/geometricbrownianprocess.hpp>

Inheritance diagram for GeometricBrownianMotionProcess:

Inheritance graph
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List of all members.

Detailed Description

Geometric brownian-motion process.

This class describes the stochastic process governed by

\[ dS(t, S)= \mu S dt + \sigma S dW_t. \]


Public Member Functions

 GeometricBrownianMotionProcess (double initialValue, double mue, double sigma)
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. $ \mu(t, x_t) $
Real diffusion (Time t, Real x) const
 returns the diffusion part of the equation, i.e. $ \sigma(t, x_t) $

Protected Attributes

double initialValue_
double mue_
double sigma_