- QuantLib
- StochasticProcess
- discretization
discretization of a stochastic process over a given time interval More...
#include <ql/stochasticprocess.hpp>
Public Member Functions | |
virtual Disposable< Array > | drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 |
virtual Disposable< Matrix > | diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 |
virtual Disposable< Matrix > | covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 |
discretization of a stochastic process over a given time interval