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QuantLib_EndEulerDiscretization
Langue: en
Version: 167506 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Member Function Documentation
- Disposable<Array> drift (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]
- Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]
- Disposable<Matrix> diffusion (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]
- Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]
- Disposable<Matrix> covariance (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]
- Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]
- Author
NAME
QuantLib::EndEulerDiscretization - Euler end-point discretization for stochastic processes.SYNOPSIS
#include <ql/processes/endeulerdiscretization.hpp>
Inherits QuantLib::StochasticProcess::discretization, and QuantLib::StochasticProcess1D::discretization.
Public Member Functions
Disposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Disposable< Matrix > covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Detailed Description
Euler end-point discretization for stochastic processes.
Member Function Documentation
Disposable<Array> drift (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]
Returns an approximation of the drift defined as $ mu(t_0 + Delta t, mathbf{x}_0) Delta t $.
Implements StochasticProcess::discretization.
Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]
Returns an approximation of the drift defined as $ mu(t_0 + Delta t, x_0) Delta t $.
Implements StochasticProcess1D::discretization.
Disposable<Matrix> diffusion (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]
Returns an approximation of the diffusion defined as $ igma(t_0 + Delta t, mathbf{x}_0) qrt{Delta t} $.
Implements StochasticProcess::discretization.
Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]
Returns an approximation of the diffusion defined as $ igma(t_0 + Delta t, x_0) qrt{Delta t} $.
Implements StochasticProcess1D::discretization.
Disposable<Matrix> covariance (const StochasticProcess &, Time t0, const Array & x0, Time dt) const [virtual]
Returns an approximation of the covariance defined as $ igma(t_0 + Delta t, mathbf{x}_0)^2 Delta t $.
Implements StochasticProcess::discretization.
Real variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const [virtual]
Returns an approximation of the variance defined as $ igma(t_0 + Delta t, x_0)^2 Delta t $.
Implements StochasticProcess1D::discretization.
Author
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