- QuantLib
- GeometricBrownianMotionProcess
Geometric brownian-motion process. More...
#include <ql/processes/geometricbrownianprocess.hpp>
Public Member Functions | |
GeometricBrownianMotionProcess (double initialValue, double mue, double sigma) | |
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. ![]() | |
Protected Attributes | |
double | initialValue_ |
double | mue_ |
double | sigma_ |
Geometric brownian-motion process.
This class describes the stochastic process governed by