StochasticProcess1D::discretization Class Reference
#include <ql/stochasticprocess.hpp>
Inheritance diagram for StochasticProcess1D::discretization:

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 |