EulerDiscretization Class Reference
[Stochastic processes]

#include <ql/processes/eulerdiscretization.hpp>

Inheritance diagram for EulerDiscretization:

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List of all members.

Detailed Description

Euler discretization for stochastic processes.


Public Member Functions

Disposable< Arraydrift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Disposable< Matrixdiffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Disposable< Matrixcovariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const


Member Function Documentation

Disposable<Array> drift ( const StochasticProcess ,
Time  t0,
const Array x0,
Time  dt 
) const [virtual]

Returns an approximation of the drift defined as $ \mu(t_0, \mathbf{x}_0) \Delta t $.

Implements StochasticProcess::discretization.

Real drift ( const StochasticProcess1D ,
Time  t0,
Real  x0,
Time  dt 
) const [virtual]

Returns an approximation of the drift defined as $ \mu(t_0, x_0) \Delta t $.

Implements StochasticProcess1D::discretization.

Disposable<Matrix> diffusion ( const StochasticProcess ,
Time  t0,
const Array x0,
Time  dt 
) const [virtual]

Returns an approximation of the diffusion defined as $ \sigma(t_0, \mathbf{x}_0) \sqrt{\Delta t} $.

Implements StochasticProcess::discretization.

Real diffusion ( const StochasticProcess1D ,
Time  t0,
Real  x0,
Time  dt 
) const [virtual]

Returns an approximation of the diffusion defined as $ \sigma(t_0, x_0) \sqrt{\Delta t} $.

Implements StochasticProcess1D::discretization.

Disposable<Matrix> covariance ( const StochasticProcess ,
Time  t0,
const Array x0,
Time  dt 
) const [virtual]

Returns an approximation of the covariance defined as $ \sigma(t_0, \mathbf{x}_0)^2 \Delta t $.

Implements StochasticProcess::discretization.

Real variance ( const StochasticProcess1D ,
Time  t0,
Real  x0,
Time  dt 
) const [virtual]

Returns an approximation of the variance defined as $ \sigma(t_0, x_0)^2 \Delta t $.

Implements StochasticProcess1D::discretization.