QuantLib: GeometricBrownianMotionProcess Class Reference

Geometric brownian-motion process. More...

#include <geometricbrownianprocess.hpp>

Inheritance diagram for GeometricBrownianMotionProcess:

Collaboration diagram for GeometricBrownianMotionProcess:

Public Member Functions
	GeometricBrownianMotionProcess (Real initialValue, Real mue, Real sigma)

Real	x0 () const override
	returns the initial value of the state variable More...

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

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

Public Member Functions inherited from StochasticProcess1D
virtual Real	expectation (Time t0, Real x0, Time dt) const

virtual Real	stdDeviation (Time t0, Real x0, Time dt) const

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

virtual Real	evolve (Time t0, Real x0, Time dt, Real dw) const

virtual Real	apply (Real x0, Real dx) const

Public Member Functions inherited from StochasticProcess
	~StochasticProcess () override=default

virtual Size	factors () const
	returns the number of independent factors of the process More...

virtual Time	time (const Date &) const

void	update () override

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Protected Attributes
Real	initialValue_

Real	mue_

Real	sigma_

Protected Attributes inherited from StochasticProcess1D
ext::shared_ptr< discretization >	discretization_

Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretization >	discretization_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from StochasticProcess1D
	StochasticProcess1D ()=default

	StochasticProcess1D (ext::shared_ptr< discretization >)

Protected Member Functions inherited from StochasticProcess
	StochasticProcess ()=default

	StochasticProcess (ext::shared_ptr< discretization >)