QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Euler discretization for stochastic processes. More...
#include <eulerdiscretization.hpp>
Public Member Functions | |
Array | drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
Real | drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const override |
Matrix | diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
Real | diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const override |
Matrix | covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
Real | variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const override |
Public Member Functions inherited from StochasticProcess::discretization | |
virtual | ~discretization ()=default |
virtual Array | drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 |
virtual Matrix | diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 |
virtual Matrix | covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 |
Public Member Functions inherited from StochasticProcess1D::discretization | |
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 |
Euler discretization for stochastic processes.
Definition at line 33 of file eulerdiscretization.hpp.
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overridevirtual |
Returns an approximation of the drift defined as \( \mu(t_0, \mathbf{x}_0) \Delta t \).
Implements StochasticProcess::discretization.
Definition at line 24 of file eulerdiscretization.cpp.
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overridevirtual |
Returns an approximation of the drift defined as \( \mu(t_0, x_0) \Delta t \).
Implements StochasticProcess1D::discretization.
Definition at line 30 of file eulerdiscretization.cpp.
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overridevirtual |
Returns an approximation of the diffusion defined as \( \sigma(t_0, \mathbf{x}_0) \sqrt{\Delta t} \).
Implements StochasticProcess::discretization.
Definition at line 35 of file eulerdiscretization.cpp.
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overridevirtual |
Returns an approximation of the diffusion defined as \( \sigma(t_0, x_0) \sqrt{\Delta t} \).
Implements StochasticProcess1D::discretization.
Definition at line 42 of file eulerdiscretization.cpp.
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overridevirtual |
Returns an approximation of the covariance defined as \( \sigma(t_0, \mathbf{x}_0)^2 \Delta t \).
Implements StochasticProcess::discretization.
Definition at line 47 of file eulerdiscretization.cpp.
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overridevirtual |
Returns an approximation of the variance defined as \( \sigma(t_0, x_0)^2 \Delta t \).
Implements StochasticProcess1D::discretization.
Definition at line 56 of file eulerdiscretization.cpp.