StochasticProcess::discretization Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for StochasticProcess::discretization:

List of all members.


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