QuantLib_StochasticProcess_discretization (3) Linux Manual Page

QuantLib::StochasticProcess::discretization – discretization of a stochastic process over a given time interval

Synopsis

#include <ql/stochasticprocess.hpp>

Inherited by EndEulerDiscretization, and EulerDiscretization.

Public Member Functions

virtual Disposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0

virtual Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0

virtual Disposable< Matrix > covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0

Detailed Description

discretization of a stochastic process over a given time interval

Author

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