26#ifndef quantlib_ornstein_uhlenbeck_process_hpp
27#define quantlib_ornstein_uhlenbeck_process_hpp
29#include <ql/stochasticprocess.hpp>
Ornstein-Uhlenbeck process class.
Real diffusion(Time t, Real x) const override
returns the diffusion part of the equation, i.e.
Real stdDeviation(Time t0, Real x0, Time dt) const override
Real drift(Time t, Real x) const override
returns the drift part of the equation, i.e.
Real expectation(Time t0, Real x0, Time dt) const override
Real x0() const override
returns the initial value of the state variable
Real variance(Time t0, Real x0, Time dt) const override
1-dimensional stochastic process
Real Time
continuous quantity with 1-year units
Real Volatility
volatility