- QuantLib
- SquareRootProcess
Square-root process class. More...
#include <ql/processes/squarerootprocess.hpp>
Public Member Functions | |
SquareRootProcess (Real b, Real a, Volatility sigma, Real x0=0.0, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) | |
StochasticProcess interface | |
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. ![]() | |
Real | diffusion (Time t, Real x) const |
returns the diffusion part of the equation, i.e. ![]() |
Square-root process class.
This class describes a square-root process governed by