QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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forwardmeasureprocess.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Banca Profilo S.p.A.
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21
22namespace QuantLib {
23
24 // base class
25
27 const ext::shared_ptr<discretization>& disc)
28 : StochasticProcess(disc) {}
29
31 T_ = T;
33 }
34
36 return T_;
37 }
38
39 // 1-D specialization
40
42 const ext::shared_ptr<discretization>& disc)
43 : StochasticProcess1D(disc) {}
44
46 T_ = T;
48 }
49
51 return T_;
52 }
53}
54
1-dimensional stochastic process
multi-dimensional stochastic process class.
forward-measure stochastic processes
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
Definition: any.hpp:35