Euler end-point discretization for stochastic processes. More...
#include <ql/processes/endeulerdiscretization.hpp>
Public Member Functions | |
| Array | drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
| Real | drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const override |
| Matrix | diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
| Real | diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const override |
| Matrix | covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const override |
| Real | variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const override |
Detailed Description
Euler end-point discretization for stochastic processes.
Member Function Documentation
◆ drift() [1/2]
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overridevirtual |
Returns an approximation of the drift defined as \( \mu(t_0 + \Delta t, \mathbf{x}_0) \Delta t \).
Implements StochasticProcess::discretization.
◆ drift() [2/2]
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overridevirtual |
Returns an approximation of the drift defined as \( \mu(t_0 + \Delta t, x_0) \Delta t \).
Implements StochasticProcess1D::discretization.
◆ diffusion() [1/2]
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overridevirtual |
Returns an approximation of the diffusion defined as \( \sigma(t_0 + \Delta t, \mathbf{x}_0) \sqrt{\Delta t} \).
Implements StochasticProcess::discretization.
◆ diffusion() [2/2]
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overridevirtual |
Returns an approximation of the diffusion defined as \( \sigma(t_0 + \Delta t, x_0) \sqrt{\Delta t} \).
Implements StochasticProcess1D::discretization.
◆ covariance()
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overridevirtual |
Returns an approximation of the covariance defined as \( \sigma(t_0 + \Delta t, \mathbf{x}_0)^2 \Delta t \).
Implements StochasticProcess::discretization.
◆ variance()
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overridevirtual |
Returns an approximation of the variance defined as \( \sigma(t_0 + \Delta t, x_0)^2 \Delta t \).
Implements StochasticProcess1D::discretization.
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