initialValue_ (3) - Linux Manuals

initialValue_: Geometric brownian-motion process.


QuantLib::GeometricBrownianMotionProcess - Geometric brownian-motion process.


#include <ql/processes/geometricbrownianprocess.hpp>

Inherits QuantLib::StochasticProcess1D.

Public Member Functions

GeometricBrownianMotionProcess (double initialValue, double mue, double sigma)

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) $

Protected Attributes

double initialValue_

double mue_

double sigma_

Detailed Description

Geometric brownian-motion process.

This class describes the stochastic process governed by [ dS(t, S)= mu S dt + igma S dW_t. ]


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