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QuantLib_StochasticProcess_discretization
Langue: en
Version: 165241 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::StochasticProcess::discretization - discretization of a stochastic process over a given time intervalSYNOPSIS
#include <ql/stochasticprocess.hpp>
Inherited by EndEulerDiscretization, and EulerDiscretization.
Public Member Functions
virtual Disposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
virtual Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
virtual Disposable< Matrix > covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
Detailed Description
discretization of a stochastic process over a given time interval
Author
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