StochasticProcess1D::discretization Class Reference

discretization of a 1-D stochastic process More...

#include <ql/stochasticprocess.hpp>

Inheritance diagram for StochasticProcess1D::discretization:

Public Member Functions
virtual Real	drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0
virtual Real	diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0
virtual Real	variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0

Detailed Description

discretization of a 1-D stochastic process

Member Function Documentation

drift()

virtual Real drift ( const StochasticProcess1D & , Time t0, Real x0, Time dt ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.

diffusion()

virtual Real diffusion ( const StochasticProcess1D & , Time t0, Real x0, Time dt ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.

variance()

virtual Real variance ( const StochasticProcess1D & , Time t0, Real x0, Time dt ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.