QuantLib_GeometricBrownianMotionProcess man page

GeometricBrownianMotionProcess — Geometric brownian-motion process.

Synopsis

#include <ql/processes/geometricbrownianprocess.hpp>

Inherits 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. $ sigma(t, x_t) $

Protected Attributes

double initialValue_

double mue_

double sigma_

Additional Inherited Members

Detailed Description

Geometric brownian-motion process.

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

GeometricBrownianMotionProcess(3), initialValue_(3) and mue_(3) are aliases of QuantLib_GeometricBrownianMotionProcess(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib