EulerDiscretization Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for EulerDiscretization:

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List of all members.

Detailed Description

Euler discretization for stochastic processes.


Public Member Functions

Real expectation (const StochasticProcess &, Time t0, Real x0, Time dt) const
Real variance (const StochasticProcess &, Time t0, Real x0, Time dt) const


Member Function Documentation

Real expectation const StochasticProcess ,
Time  t0,
Real  x0,
Time  dt
const [virtual]
 

Returns an approximation of the expected value defined as $ x_0 + \mu(t_0, x_0) \Delta t $.

Implements StochasticProcess::discretization.

Real variance const StochasticProcess ,
Time  t0,
Real  x0,
Time  dt
const [virtual]
 

Returns an approximation of the variance defined as $ \sigma(t_0, x_0)^2 \Delta t $.

Implements StochasticProcess::discretization.


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