SquareRootProcess (3) - Linux Man Pages

SquareRootProcess: Square-root process class.

NAME

QuantLib::SquareRootProcess - Square-root process class.

SYNOPSIS


#include <ql/processes/squarerootprocess.hpp>

Inherits QuantLib::StochasticProcess1D.

Public Member Functions


SquareRootProcess (Real b, Real a, Volatility sigma, Real x0=0.0, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))

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. $ mu(t, x_t) $
Real diffusion (Time t, Real x) const
returns the diffusion part of the equation, i.e. $ igma(t, x_t) $

Detailed Description

Square-root process class.

This class describes a square-root process governed by [ dx = a (b - x_t) dt + igma qrt{x_t} dW_t. ]

Author

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