SquareRootProcess Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for SquareRootProcess:

Inheritance graph
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List of all members.

Detailed Description

Square-root process class.

This class describes a square-root process governed by

\[ dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t. \]


Public Member Functions

 SquareRootProcess (Real b, Real a, Volatility sigma, Real x0=0.0, const boost::shared_ptr< StochasticProcess::discretization > &d=boost::shared_ptr< StochasticProcess::discretization >(new EulerDiscretization))
StochasticProcess interface
Real x0 () const
 returns the initial value of the state variable

Real drift (Time t, Real x) const
 returns the drift part of the equation, i.e. $ \mu(t, x_t) $

Real diffusion (Time t, Real x) const
 returns the diffusion part of the equation, i.e. $ \sigma(t, x_t) $


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