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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">GeometricBrownianMotionProcess Class Reference<div class="ingroups"><a class="el" href="group__processes.html">Stochastic processes</a></div></div> </div>
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<!-- doxytag: class="QuantLib::GeometricBrownianMotionProcess" --><!-- doxytag: inherits="QuantLib::StochasticProcess1D" -->
<p>Geometric brownian-motion process.
<a href="class_quant_lib_1_1_geometric_brownian_motion_process.html#details">More...</a></p>
<p><code>#include <ql/processes/geometricbrownianprocess.hpp></code></p>
<div class="dynheader">
Inheritance diagram for GeometricBrownianMotionProcess:</div>
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<map name="_geometric_brownian_motion_process_inherit__map" id="_geometric_brownian_motion_process_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_stochastic_process1_d.html" title="1-dimensional stochastic process" alt="" coords="43,6,189,37"/></map>
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<p><a href="class_quant_lib_1_1_geometric_brownian_motion_process-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a192edffe2198134c0463009ce88127f7"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::GeometricBrownianMotionProcess" ref="a192edffe2198134c0463009ce88127f7" 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" align="right" valign="top"><a class="anchor" id="a89d2f497b5fd0d0a0dce2ec82c86e778"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::x0" ref="a89d2f497b5fd0d0a0dce2ec82c86e778" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#a89d2f497b5fd0d0a0dce2ec82c86e778">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" align="right" valign="top"><a class="anchor" id="a545d33724b1d6d312eb8a17f73571842"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::drift" ref="a545d33724b1d6d312eb8a17f73571842" args="(Time t, Real x) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#a545d33724b1d6d312eb8a17f73571842">drift</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">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) $" src="form_360.png"/> <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab4d7fe4af7a6dd0ae710c073569821e4"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::diffusion" ref="ab4d7fe4af7a6dd0ae710c073569821e4" args="(Time t, Real x) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_geometric_brownian_motion_process.html#ab4d7fe4af7a6dd0ae710c073569821e4">diffusion</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. <img class="formulaInl" alt="$ \sigma(t, x_t) $" src="form_361.png"/> <br/></td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a88bdbc0f8bb8c238cc14ca12cc8a82f3"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::initialValue_" ref="a88bdbc0f8bb8c238cc14ca12cc8a82f3" args="" -->
double </td><td class="memItemRight" valign="bottom"><b>initialValue_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a666f59a5f923a5a2af71cfdb4bec7b51"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::mue_" ref="a666f59a5f923a5a2af71cfdb4bec7b51" args="" -->
double </td><td class="memItemRight" valign="bottom"><b>mue_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a497f69dd5195462ce23e591069b4232f"></a><!-- doxytag: member="QuantLib::GeometricBrownianMotionProcess::sigma_" ref="a497f69dd5195462ce23e591069b4232f" args="" -->
double </td><td class="memItemRight" valign="bottom"><b>sigma_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Geometric brownian-motion process. </p>
<p>This class describes the stochastic process governed by </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ dS(t, S)= \mu S dt + \sigma S dW_t. \]" src="form_344.png"/>
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