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QuantLib_EulerDiscretization
Langue: en
Version: 379115 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Member Function Documentation
- Disposable<Array> drift (const StochasticProcess &, Time t0, const Array & x0, Time dt) constReturns an approximation of the drift defined as $ mu(t_0, mathbf{x}_0) Delta t $.
- Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]Returns an approximation of the drift defined as $ mu(t_0, x_0) Delta t $.
- Disposable<Matrix> diffusion (const StochasticProcess &, Time t0, const Array & x0, Time dt) constReturns an approximation of the diffusion defined as $ igma(t_0, mathbf{x}_0) qrt{Delta t} $.
- Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]Returns an approximation of the diffusion defined as $ igma(t_0, x_0) qrt{Delta t} $.
- Disposable<Matrix> covariance (const StochasticProcess &, Time t0, const Array & x0, Time dt) constReturns an approximation of the covariance defined as $ igma(t_0, mathbf{x}_0)^2 Delta t $.
- Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]Returns an approximation of the variance defined as $ igma(t_0, x_0)^2 Delta t $.
- Author
NAME
QuantLib::EulerDiscretization -Euler discretization for stochastic processes.
SYNOPSIS
#include <ql/processes/eulerdiscretization.hpp>
Inherits QuantLib::StochasticProcess::discretization, and QuantLib::StochasticProcess1D::discretization.
Public Member Functions
Disposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Disposable< Matrix > covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Detailed Description
Euler discretization for stochastic processes.
Member Function Documentation
Disposable<Array> drift (const StochasticProcess &, Time t0, const Array & x0, Time dt) constReturns an approximation of the drift defined as $ mu(t_0, mathbf{x}_0) Delta t $.
Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]Returns an approximation of the drift defined as $ mu(t_0, x_0) Delta t $.
Implements StochasticProcess1D::discretization.
Disposable<Matrix> diffusion (const StochasticProcess &, Time t0, const Array & x0, Time dt) constReturns an approximation of the diffusion defined as $ igma(t_0, mathbf{x}_0) qrt{Delta t} $.
Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]Returns an approximation of the diffusion defined as $ igma(t_0, x_0) qrt{Delta t} $.
Implements StochasticProcess1D::discretization.
Disposable<Matrix> covariance (const StochasticProcess &, Time t0, const Array & x0, Time dt) constReturns an approximation of the covariance defined as $ igma(t_0, mathbf{x}_0)^2 Delta t $.
Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]Returns an approximation of the variance defined as $ igma(t_0, x_0)^2 Delta t $.
Implements StochasticProcess1D::discretization.
Author
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