StochasticProcess::discretization Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for StochasticProcess::discretization:

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Detailed Description

discretization of a stochastic process over a given time interval


Public Member Functions

virtual Disposable< Arraydrift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const=0
virtual Disposable< Matrixdiffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const=0
virtual Disposable< Matrixcovariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const=0