SquareRootProcess (3) - Linux Manuals

SquareRootProcess: Square-root process class.


QuantLib::SquareRootProcess - Square-root process class.


#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. ]


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