StochasticProcess Class Reference#include <ql/stochasticprocess.hpp>
Inheritance diagram for StochasticProcess:
[legend]List of all members.
Detailed Description
Stochastic process class.
This class describes a stochastic process governed by
Member Function Documentation
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returns the expectation of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in OrnsteinUhlenbeckProcess. |
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returns the variance of the process after a time interval according to the given discretization.This method can be overridden in derived classes which want to hard-code a particular discretization.
Reimplemented in OrnsteinUhlenbeckProcess. |
void update |
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
Reimplemented in BlackScholesProcess. |
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