EulerDiscretization Class Reference

Euler discretization for stochastic processes. More...

#include <ql/processes/eulerdiscretization.hpp>

Inheritance diagram for EulerDiscretization:

Public Member Functions
Disposable< Array >	drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real	drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Disposable< Matrix >	diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real	diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const
Disposable< Matrix >	covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const
Real	variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const

Detailed Description

Euler discretization for stochastic processes.

Member Function Documentation

drift() [1/2]

Disposable<Array> drift ( const StochasticProcess &  , Time  t0, const Array &  x0, Time  dt  ) const

virtual

Returns an approximation of the drift defined as \( \mu(t_0, \mathbf{x}_0) \Delta t \).

Implements StochasticProcess::discretization.

drift() [2/2]

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

virtual

Returns an approximation of the drift defined as \( \mu(t_0, x_0) \Delta t \).

Implements StochasticProcess1D::discretization.

diffusion() [1/2]

Disposable<Matrix> diffusion ( const StochasticProcess &  , Time  t0, const Array &  x0, Time  dt  ) const

virtual

Returns an approximation of the diffusion defined as \( \sigma(t_0, \mathbf{x}_0) \sqrt{\Delta t} \).

Implements StochasticProcess::discretization.

diffusion() [2/2]

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

virtual

Returns an approximation of the diffusion defined as \( \sigma(t_0, x_0) \sqrt{\Delta t} \).

Implements StochasticProcess1D::discretization.

covariance()

Disposable<Matrix> covariance ( const StochasticProcess &  , Time  t0, const Array &  x0, Time  dt  ) const

virtual

Returns an approximation of the covariance defined as \( \sigma(t_0, \mathbf{x}_0)^2 \Delta t \).

Implements StochasticProcess::discretization.

variance()

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

virtual

Returns an approximation of the variance defined as \( \sigma(t_0, x_0)^2 \Delta t \).

Implements StochasticProcess1D::discretization.