QuantLib_StochasticProcess1D_discretization man page

StochasticProcess1D::discretization — discretization of a 1-D stochastic process

Synopsis

#include <ql/stochasticprocess.hpp>

Inherited by EndEulerDiscretization, and EulerDiscretization.

Public Member Functions

virtual Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0

virtual Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0

virtual Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0

Detailed Description

discretization of a 1-D stochastic process

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib