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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_square_root_process.html">SquareRootProcess</a></div>
<h1>SquareRootProcess Class Reference<br>
<small>
[<a class="el" href="group__processes.html">Stochastic processes</a>]</small>
</h1><!-- doxytag: class="QuantLib::SquareRootProcess" --><!-- doxytag: inherits="QuantLib::StochasticProcess1D" --><code>#include <ql/Processes/squarerootprocess.hpp></code>
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Inheritance diagram for SquareRootProcess:<p><center><img src="class_quant_lib_1_1_square_root_process__inherit__graph.png" border="0" usemap="#_square_root_process__inherit__map" alt="Inheritance graph"></center>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_square_root_process-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Square-root process class.
<p>
This class describes a square-root process governed by <p class="formulaDsp">
<img class="formulaDsp" alt="\[ dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t. \]" src="form_191.png">
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<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="113c35a8d8c932b2a20ca2e1fe3fa68f"></a><!-- doxytag: member="QuantLib::SquareRootProcess::SquareRootProcess" ref="113c35a8d8c932b2a20ca2e1fe3fa68f" args="(Real b, Real a, Volatility sigma, Real x0=0.0, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))" -->
</td><td class="memItemRight" valign="bottom"><b>SquareRootProcess</b> (Real b, Real a, Volatility sigma, Real x0=0.0, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new <a class="el" href="class_quant_lib_1_1_euler_discretization.html">EulerDiscretization</a>))</td></tr>
<tr><td colspan="2"><div class="groupHeader">StochasticProcess interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e7a72a4c8dd1f131143d89a535765d42"></a><!-- doxytag: member="QuantLib::SquareRootProcess::x0" ref="e7a72a4c8dd1f131143d89a535765d42" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_square_root_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::SquareRootProcess::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_square_root_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) $" src="form_251.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5ab4b67d548a4674f8a989868c0a922b"></a><!-- doxytag: member="QuantLib::SquareRootProcess::diffusion" ref="5ab4b67d548a4674f8a989868c0a922b" args="(Time t, Real x) const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_square_root_process.html#5ab4b67d548a4674f8a989868c0a922b">diffusion</a> (Time t, Real x) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, x_t) $" src="form_252.png"> <br></td></tr>
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