SquareRootProcess (3) Linux Manual Page
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. ]