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. \( \mu(t, x_t) \) | |
Real | diffusion (Time t, Real x) const |
returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) | |
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virtual Real | expectation (Time t0, Real x0, Time dt) const |
virtual Real | stdDeviation (Time t0, Real x0, Time dt) const |
virtual Real | variance (Time t0, Real x0, Time dt) const |
virtual Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
virtual Real | apply (Real x0, Real dx) const |
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virtual Size | factors () const |
returns the number of independent factors of the process | |
virtual Time | time (const Date &) const |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Attributes | |
double | initialValue_ |
double | mue_ |
double | sigma_ |
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boost::shared_ptr< discretization > | discretization_ |
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boost::shared_ptr< discretization > | discretization_ |
Additional Inherited Members | |
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StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
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StochasticProcess (const boost::shared_ptr< discretization > &) | |
Geometric brownian-motion process.
This class describes the stochastic process governed by
\[ dS(t, S)= \mu S dt + \sigma S dW_t. \]