QuantLib
: a free/open-source library for quantitative finance
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ql
processes
geometricbrownianprocess.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2003 Ferdinando Ametrano
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Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
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Copyright (C) 2004, 2005 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file geometricbrownianprocess.hpp
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\brief Geometric Brownian-motion process
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*/
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#ifndef quantlib_geometric_brownian_process_hpp
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#define quantlib_geometric_brownian_process_hpp
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#include <
ql/stochasticprocess.hpp
>
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namespace
QuantLib
{
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//! Geometric brownian-motion process
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/*! This class describes the stochastic process governed by
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\f[
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dS(t, S)= \mu S dt + \sigma S dW_t.
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\f]
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\ingroup processes
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*/
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class
GeometricBrownianMotionProcess
:
public
StochasticProcess1D
{
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public
:
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GeometricBrownianMotionProcess
(
Real
initialValue,
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Real
mue,
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Real
sigma
);
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Real
x0
()
const override
;
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Real
drift
(
Time
t
,
Real
x)
const override
;
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Real
diffusion
(
Time
t
,
Real
x)
const override
;
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protected
:
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Real
initialValue_
;
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Real
mue_
;
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Real
sigma_
;
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};
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}
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#endif
QuantLib::GeometricBrownianMotionProcess
Geometric brownian-motion process.
Definition:
geometricbrownianprocess.hpp:41
QuantLib::GeometricBrownianMotionProcess::mue_
Real mue_
Definition:
geometricbrownianprocess.hpp:52
QuantLib::GeometricBrownianMotionProcess::sigma_
Real sigma_
Definition:
geometricbrownianprocess.hpp:53
QuantLib::GeometricBrownianMotionProcess::initialValue_
Real initialValue_
Definition:
geometricbrownianprocess.hpp:51
QuantLib::GeometricBrownianMotionProcess::diffusion
Real diffusion(Time t, Real x) const override
returns the diffusion part of the equation, i.e.
Definition:
geometricbrownianprocess.cpp:43
QuantLib::GeometricBrownianMotionProcess::drift
Real drift(Time t, Real x) const override
returns the drift part of the equation, i.e.
Definition:
geometricbrownianprocess.cpp:39
QuantLib::GeometricBrownianMotionProcess::x0
Real x0() const override
returns the initial value of the state variable
Definition:
geometricbrownianprocess.cpp:35
QuantLib::StochasticProcess1D
1-dimensional stochastic process
Definition:
stochasticprocess.hpp:163
t
const DefaultType & t
Definition:
defaultprobabilitykey.cpp:39
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition:
types.hpp:62
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
sigma
Real sigma
Definition:
hestonrndcalculator.cpp:36
QuantLib
Definition:
any.hpp:35
stochasticprocess.hpp
stochastic processes
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