QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
discretization of a 1-D stochastic process More...
#include <stochasticprocess.hpp>
Public Member Functions | |
virtual | ~discretization ()=default |
virtual Real | drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 |
virtual Real | diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 |
virtual Real | variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 |
discretization of a 1-D stochastic process
Definition at line 166 of file stochasticprocess.hpp.
|
virtualdefault |
|
pure virtual |
Implemented in EndEulerDiscretization, and EulerDiscretization.
|
pure virtual |
Implemented in EndEulerDiscretization, and EulerDiscretization.
|
pure virtual |
Implemented in EndEulerDiscretization, and EulerDiscretization.