Euler discretization for stochastic processes. More...
#include <ql/processes/eulerdiscretization.hpp>
Inheritance diagram for EulerDiscretization:
Collaboration diagram for EulerDiscretization:
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 |
Detailed Description
Euler discretization for stochastic processes.
Definition at line 33 of file eulerdiscretization.hpp.
Member Function Documentation
◆ drift() [1/2]
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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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◆ drift() [2/2]
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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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◆ diffusion() [1/2]
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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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◆ diffusion() [2/2]
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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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◆ covariance()
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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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◆ variance()
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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.
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