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QuantLib_StochasticProcess1D_discretization
Langue: en
Version: 382903 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::StochasticProcess1D::discretization -discretization of a 1-D stochastic process
SYNOPSIS
#include <ql/stochasticprocess.hpp>
Inherited by EndEulerDiscretization, and EulerDiscretization.
Public Member Functions
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
Author
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