OrnsteinUhlenbeckProcess Class Reference#include <ql/stochasticprocess.hpp>
Inheritance diagram for OrnsteinUhlenbeckProcess:
[legend]List of all members.
Detailed Description
Ornstein-Uhlenbeck process class.
This class describes the Ornstein-Uhlenbeck process governed by
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Public Member Functions |
| OrnsteinUhlenbeckProcess (Real speed, Volatility vol, Real x0=0.0) |
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Real | x0 () const |
| returns the initial value of the state variable
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Real | drift (Time t, Real x) const |
| returns the drift part of the equation, i.e.
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Real | diffusion (Time t, Real x) const |
| returns the diffusion part of the equation, i.e.
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Real | expectation (Time t0, Real x0, Time dt) const |
Real | variance (Time t0, Real x0, Time dt) const |
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 from StochasticProcess. |
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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 from StochasticProcess. |
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