28 const ext::shared_ptr<discretization>& disc)
SquareRootProcess(Real b, Real a, Volatility sigma, Real x0=0.0, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization))
Real diffusion(Time t, Real x) const override
returns the diffusion part of the equation, i.e.
Real drift(Time t, Real x) const override
returns the drift part of the equation, i.e.
Real x0() const override
returns the initial value of the state variable
1-dimensional stochastic process
ext::function< Real(Real)> b
Real Time
continuous quantity with 1-year units
Real Volatility
volatility