- 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.