- QuantLib
- EulerDiscretization
Euler discretization for stochastic processes. More...
#include <ql/processes/eulerdiscretization.hpp>
Public Member Functions | |
Disposable< Array > | drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
Real | drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const |
Disposable< Matrix > | diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
Real | diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const |
Disposable< Matrix > | covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const |
Real | variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const |
Euler discretization for stochastic processes.
Disposable<Array> drift | ( | const StochasticProcess & | , |
Time | t0, | ||
const Array & | x0, | ||
Time | dt | ||
) | const [virtual] |
Returns an approximation of the drift defined as .
Implements StochasticProcess::discretization.
Returns an approximation of the drift defined as .
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 .
Implements StochasticProcess::discretization.
Returns an approximation of the diffusion defined as .
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 .
Implements StochasticProcess::discretization.
Returns an approximation of the variance defined as .
Implements StochasticProcess1D::discretization.