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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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>
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Inheritance diagram for GeometricBrownianMotionProcess:</div>
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<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 shape="rect" href="class_quant_lib_1_1_stochastic_process1_d.html" title="1-dimensional stochastic process" alt="" coords="48,7,205,33"></map>
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<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_264.png">
<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="89d2f497b5fd0d0a0dce2ec82c86e778"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::x0" ref="89d2f497b5fd0d0a0dce2ec82c86e778" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#89d2f497b5fd0d0a0dce2ec82c86e778">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="545d33724b1d6d312eb8a17f73571842"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::drift" ref="545d33724b1d6d312eb8a17f73571842" args="(Time t, Real x) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#545d33724b1d6d312eb8a17f73571842">drift</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> 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) $" src="form_279.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b4d7fe4af7a6dd0ae710c073569821e4"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::diffusion" ref="b4d7fe4af7a6dd0ae710c073569821e4" args="(Time t, Real x) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#b4d7fe4af7a6dd0ae710c073569821e4">diffusion</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, x_t) $" src="form_280.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>
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