OrnsteinUhlenbeckProcess Class Reference
[Stochastic processes]
#include <ql/Processes/ornsteinuhlenbeckprocess.hpp>
Inheritance diagram for OrnsteinUhlenbeckProcess:

Detailed Description
Ornstein-Uhlenbeck process class.This class describes the Ornstein-Uhlenbeck process governed by
Public Member Functions | |
| OrnsteinUhlenbeckProcess (Real speed, Volatility vol, Real x0=0.0) | |
StochasticProcess interface | |
| 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. | |
| Real | expectation (Time t0, Real x0, Time dt) const |
| Real | stdDeviation (Time t0, Real x0, Time dt) const |
| Real | variance (Time t0, Real x0, Time dt) const |
Member Function Documentation
| Real expectation | ( | Time | t0, | |
| Real | x0, | |||
| Time | dt | |||
| ) | const [virtual] |
returns the expectation
of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess1D.
| Real stdDeviation | ( | Time | t0, | |
| Real | x0, | |||
| Time | dt | |||
| ) | const [virtual] |
returns the standard deviation
of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess1D.
| Real variance | ( | Time | t0, | |
| Real | x0, | |||
| Time | dt | |||
| ) | const [virtual] |
returns the variance
of the process after a time interval
according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented from StochasticProcess1D.