QuantLib_EndEulerDiscretization man page

EndEulerDiscretization — Euler end-point discretization for stochastic processes.

Synopsis

#include <ql/processes/endeulerdiscretization.hpp>

Inherits StochasticProcess::discretization, and 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 end-point discretization for stochastic processes.

Member Function Documentation

Disposable<Array> drift (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]

Returns an approximation of the drift defined as $ mu(t_0 + Delta t, mathbf{x}_0) Delta t $.

Implements StochasticProcess::discretization.

Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]

Returns an approximation of the drift defined as $ mu(t_0 + Delta t, x_0) Delta t $.

Implements StochasticProcess1D::discretization.

Disposable<Matrix> diffusion (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]

Returns an approximation of the diffusion defined as $ sigma(t_0 + Delta t, mathbf{x}_0) sqrt{Delta t} $.

Implements StochasticProcess::discretization.

Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]

Returns an approximation of the diffusion defined as $ sigma(t_0 + Delta t, x_0) sqrt{Delta t} $.

Implements StochasticProcess1D::discretization.

Disposable<Matrix> covariance (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]

Returns an approximation of the covariance defined as $ sigma(t_0 + Delta t, mathbf{x}_0)^2 Delta t $.

Implements StochasticProcess::discretization.

Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]

Returns an approximation of the variance defined as $ sigma(t_0 + Delta t, x_0)^2 Delta t $.

Implements StochasticProcess1D::discretization.

Author

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Referenced By

diffusion(3) is an alias of QuantLib_EndEulerDiscretization(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib