QuantLib_EulerDiscretization (3) Linux Manual Page

QuantLib::EulerDiscretization – Euler discretization for stochastic processes.

Synopsis

#include <ql/processes/eulerdiscretization.hpp>

Inherits QuantLib::StochasticProcess::discretization, and QuantLib::StochasticProcess1D::discretization.

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 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 $ mu(t_0, mathbf{x}_0) Delta t $.

Implements discretization.

Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]

Returns an approximation of the drift defined as $ mu(t_0, x_0) Delta t $.

Implements discretization.

Disposable<Matrix> diffusion (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]

Returns an approximation of the diffusion defined as $ igma(t_0, mathbf{x}_0) qrt{Delta t} $.

Implements discretization.

Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]

Returns an approximation of the diffusion defined as $ igma(t_0, x_0) qrt{Delta t} $.

Implements discretization.

Disposable<Matrix> covariance (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]

Returns an approximation of the covariance defined as $ igma(t_0, mathbf{x}_0)^2 Delta t $.

Implements discretization.

Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]

Returns an approximation of the variance defined as $ igma(t_0, x_0)^2 Delta t $.

Implements discretization.

Author

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