30 : discretization_(
std::move(disc)) {}
60 const Array& dx)
const {
65 QL_FAIL(
"date/time conversion not supported");
76 : discretization_(
std::move(disc)) {}
1-D array used in linear algebra.
Matrix used in linear algebra.
virtual Real apply(Real x0, Real dx) const
ext::shared_ptr< discretization > discretization_
virtual Real variance(Time t0, Real x0, Time dt) const
virtual Real evolve(Time t0, Real x0, Time dt, Real dw) const
StochasticProcess1D()=default
virtual Real x0() const =0
returns the initial value of the state variable
virtual Real stdDeviation(Time t0, Real x0, Time dt) const
virtual Real expectation(Time t0, Real x0, Time dt) const
virtual Size size() const =0
returns the number of dimensions of the stochastic process
virtual Matrix stdDeviation(Time t0, const Array &x0, Time dt) const
virtual Array evolve(Time t0, const Array &x0, Time dt, const Array &dw) const
virtual Matrix covariance(Time t0, const Array &x0, Time dt) const
ext::shared_ptr< discretization > discretization_
virtual Array apply(const Array &x0, const Array &dx) const
virtual Array expectation(Time t0, const Array &x0, Time dt) const
virtual Size factors() const
returns the number of independent factors of the process
virtual Time time(const Date &) const
StochasticProcess()=default
#define QL_FAIL(message)
throw an error (possibly with file and line information)
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container