StochasticProcess::discretization Class Reference

discretization of a stochastic process over a given time interval More...

#include <ql/stochasticprocess.hpp>

Inheritance diagram for StochasticProcess::discretization:

Collaboration diagram for StochasticProcess::discretization:

Public Member Functions
virtual	~discretization ()=default
virtual Array	drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
virtual Matrix	diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
virtual Matrix	covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0

Detailed Description

discretization of a stochastic process over a given time interval

Definition at line 45 of file stochasticprocess.hpp.

Constructor & Destructor Documentation

~discretization()

virtual ~discretization ( )

virtualdefault

Member Function Documentation

drift()

virtual Array drift ( const StochasticProcess &  , Time  t0, const Array &  x0, Time  dt  ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.

diffusion()

virtual Matrix diffusion ( const StochasticProcess &  , Time  t0, const Array &  x0, Time  dt  ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.

covariance()

virtual Matrix covariance ( const StochasticProcess &  , Time  t0, const Array &  x0, Time  dt  ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.