StochasticProcess::discretization Class Reference

discretization of a stochastic process over a given time interval More...

#include <ql/stochasticprocess.hpp>

Inheritance diagram for StochasticProcess::discretization:

Public Member Functions
virtual Array	drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
virtual Matrix	diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
virtual Matrix	covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0

Detailed Description

discretization of a stochastic process over a given time interval

Member Function Documentation

drift()

virtual Array drift ( const StochasticProcess & , Time t0, const Array & x0, Time dt ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.

diffusion()

virtual Matrix diffusion ( const StochasticProcess & , Time t0, const Array & x0, Time dt ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.

covariance()

virtual Matrix covariance ( const StochasticProcess & , Time t0, const Array & x0, Time dt ) const

pure virtual

Implemented in EndEulerDiscretization, and EulerDiscretization.