QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
StochasticProcess1D::discretization Class Referenceabstract

discretization of a 1-D stochastic process More...

#include <stochasticprocess.hpp>

+ Inheritance diagram for StochasticProcess1D::discretization:
+ Collaboration diagram for StochasticProcess1D::discretization:

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
 

Detailed Description

discretization of a 1-D stochastic process

Definition at line 166 of file stochasticprocess.hpp.

Constructor & Destructor Documentation

◆ ~discretization()

virtual ~discretization ( )
virtualdefault

Member Function Documentation

◆ drift()

virtual Real drift ( const StochasticProcess1D ,
Time  t0,
Real  x0,
Time  dt 
) const
pure virtual

◆ diffusion()

virtual Real diffusion ( const StochasticProcess1D ,
Time  t0,
Real  x0,
Time  dt 
) const
pure virtual

◆ variance()

virtual Real variance ( const StochasticProcess1D ,
Time  t0,
Real  x0,
Time  dt 
) const
pure virtual