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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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:</div>
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<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_267.png">
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<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="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> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> sigma, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x0=0.0, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > &d=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> >(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="89d2f497b5fd0d0a0dce2ec82c86e778"></a><!-- doxytag: member="QuantLib::SquareRootProcess::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_square_root_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::SquareRootProcess::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_square_root_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) $" src="form_279.png"> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b4d7fe4af7a6dd0ae710c073569821e4"></a><!-- doxytag: member="QuantLib::SquareRootProcess::diffusion" ref="b4d7fe4af7a6dd0ae710c073569821e4" args="(Time t, Real x) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_square_root_process.html#b4d7fe4af7a6dd0ae710c073569821e4">diffusion</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, x_t) $" src="form_280.png"> <br></td></tr>
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