1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: GeometricBrownianMotionProcess Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html">GeometricBrownianMotionProcess</a></div>
<h1>GeometricBrownianMotionProcess Class Reference<br>
<small>
[<a class="el" href="group__processes.html">Stochastic processes</a>]</small>
</h1><!-- doxytag: class="QuantLib::GeometricBrownianMotionProcess" --><!-- doxytag: inherits="QuantLib::StochasticProcess1D" --><code>#include <ql/Processes/geometricbrownianprocess.hpp></code>
<p>
Inheritance diagram for GeometricBrownianMotionProcess:<p><center><img src="class_quant_lib_1_1_geometric_brownian_motion_process__inherit__graph.png" border="0" usemap="#_geometric_brownian_motion_process__inherit__map" alt="Inheritance graph"></center>
<map name="_geometric_brownian_motion_process__inherit__map">
<area href="class_quant_lib_1_1_stochastic_process1_d.html" shape="rect" coords="51,156,211,180" alt="">
<area href="class_quant_lib_1_1_stochastic_process.html" shape="rect" coords="60,81,201,105" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="32,7,115,31" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="139,7,237,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_geometric_brownian_motion_process-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Geometric brownian-motion process.
<p>
This class describes the stochastic process governed by <p class="formulaDsp">
<img class="formulaDsp" alt="\[ dS(t, S)= \mu S dt + \sigma S dW_t. \]" src="form_188.png">
<p>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="192edffe2198134c0463009ce88127f7"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::GeometricBrownianMotionProcess" ref="192edffe2198134c0463009ce88127f7" args="(double initialValue, double mue, double sigma)" -->
</td><td class="memItemRight" valign="bottom"><b>GeometricBrownianMotionProcess</b> (double initialValue, double mue, double sigma)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e7a72a4c8dd1f131143d89a535765d42"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::x0" ref="e7a72a4c8dd1f131143d89a535765d42" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#e7a72a4c8dd1f131143d89a535765d42">x0</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the initial value of the state variable <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c0fef0634785539f761f09c6fe6fa566"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::drift" ref="c0fef0634785539f761f09c6fe6fa566" args="(Time t, Real x) const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#c0fef0634785539f761f09c6fe6fa566">drift</a> (Time t, Real x) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the drift part of the equation, i.e. <img class="formulaInl" alt="$ \mu(t, x_t) $" src="form_251.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5ab4b67d548a4674f8a989868c0a922b"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::diffusion" ref="5ab4b67d548a4674f8a989868c0a922b" args="(Time t, Real x) const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#5ab4b67d548a4674f8a989868c0a922b">diffusion</a> (Time t, Real x) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, x_t) $" src="form_252.png"> <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="88bdbc0f8bb8c238cc14ca12cc8a82f3"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::initialValue_" ref="88bdbc0f8bb8c238cc14ca12cc8a82f3" args="" -->
double </td><td class="memItemRight" valign="bottom"><b>initialValue_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="666f59a5f923a5a2af71cfdb4bec7b51"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::mue_" ref="666f59a5f923a5a2af71cfdb4bec7b51" args="" -->
double </td><td class="memItemRight" valign="bottom"><b>mue_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="497f69dd5195462ce23e591069b4232f"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::sigma_" ref="497f69dd5195462ce23e591069b4232f" args="" -->
double </td><td class="memItemRight" valign="bottom"><b>sigma_</b></td></tr>
</table>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
