EndEulerDiscretization Class Reference
[Stochastic processes]
Euler end-point discretization for stochastic processes.
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#include <ql/processes/endeulerdiscretization.hpp>
Inheritance diagram for EndEulerDiscretization:

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 |
Detailed Description
Euler end-point discretization for stochastic processes.
Member Function Documentation
| 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.
| Real drift | ( | const StochasticProcess1D & | , | |
| Time | t0, | |||
| Real | x0, | |||
| Time | dt | |||
| ) | const [virtual] |
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.
| Real diffusion | ( | const StochasticProcess1D & | , | |
| Time | t0, | |||
| Real | x0, | |||
| Time | dt | |||
| ) | const [virtual] |
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.
| Real variance | ( | const StochasticProcess1D & | , | |
| Time | t0, | |||
| Real | x0, | |||
| Time | dt | |||
| ) | const [virtual] |
Returns an approximation of the variance defined as
.
Implements StochasticProcess1D::discretization.