StochasticProcess1D::discretization Class Reference

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

#include <ql/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

Implemented in EndEulerDiscretization, and EulerDiscretization.

diffusion()

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

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.

variance()

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

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.