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
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: StochasticProcess1D Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#nested-classes">Classes</a> |
<a href="class_quant_lib_1_1_stochastic_process1_d-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">StochasticProcess1D Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
</div><!--header-->
<div class="contents">
<p>1-dimensional stochastic process
<a href="class_quant_lib_1_1_stochastic_process1_d.html#details">More...</a></p>
<p><code>#include <ql/stochasticprocess.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for StochasticProcess1D:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_stochastic_process1_d__inherit__graph.png" border="0" usemap="#a_stochastic_process1_d_inherit__map" alt="Inheritance graph"/></div>
<map name="_stochastic_process1_d_inherit__map" id="a_stochastic_process1_d_inherit__map">
<area shape="rect" title="1-dimensional stochastic process" alt="" coords="321,341,471,368"/>
<area shape="rect" href="class_quant_lib_1_1_cox_ingersoll_ross_process.html" title="CoxIngersollRoss process class." alt="" coords="543,5,717,32"/>
<area shape="rect" href="class_quant_lib_1_1_extended_ornstein_uhlenbeck_process.html" title="Extended Ornstein-Uhlenbeck process class." alt="" coords="536,57,724,98"/>
<area shape="rect" href="class_quant_lib_1_1_forward_measure_process1_d.html" title="forward-measure 1-D stochastic process" alt="" coords="538,123,722,149"/>
<area shape="rect" href="class_quant_lib_1_1_geman_roncoroni_process.html" title="Geman-Roncoroni process class." alt="" coords="545,173,715,200"/>
<area shape="rect" href="class_quant_lib_1_1_generalized_black_scholes_process.html" title="Generalized Black-Scholes stochastic process." alt="" coords="521,224,739,251"/>
<area shape="rect" href="class_quant_lib_1_1_generalized_ornstein_uhlenbeck_process.html" title="Piecewise linear Ornstein-Uhlenbeck process class." alt="" coords="529,275,731,317"/>
<area shape="rect" href="class_quant_lib_1_1_geometric_brownian_motion_process.html" title="Geometric brownian-motion process." alt="" coords="519,341,741,368"/>
<area shape="rect" href="class_quant_lib_1_1_hull_white_process.html" title="Hull-White stochastic process." alt="" coords="567,392,693,419"/>
<area shape="rect" href="class_quant_lib_1_1_merton76_process.html" title="Merton-76 jump-diffusion process." alt="" coords="568,443,692,469"/>
<area shape="rect" href="class_quant_lib_1_1_mf_state_process.html" title="Markov functional state process class." alt="" coords="572,493,688,520"/>
<area shape="rect" href="class_quant_lib_1_1_ornstein_uhlenbeck_process.html" title="Ornstein-Uhlenbeck process class." alt="" coords="539,544,721,571"/>
<area shape="rect" href="class_quant_lib_1_1_square_root_process.html" title="Square-root process class." alt="" coords="561,595,699,621"/>
<area shape="rect" href="class_quant_lib_1_1_variance_gamma_process.html" title="Variance gamma process." alt="" coords="547,645,713,672"/>
<area shape="rect" href="class_quant_lib_1_1_stochastic_process.html" title="multi-dimensional stochastic process class." alt="" coords="141,341,273,368"/>
<area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="12,316,87,343"/>
<area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="5,367,93,393"/>
<area shape="rect" href="class_quant_lib_1_1_gsr_process.html" title="GSR stochastic process." alt="" coords="843,47,933,73"/>
<area shape="rect" href="class_quant_lib_1_1_hull_white_forward_process.html" title="Forward Hull-White stochastic process" alt="" coords="801,97,975,124"/>
<area shape="rect" href="class_quant_lib_1_1_black_process.html" title="Black (1976) stochastic process." alt="" coords="837,148,939,175"/>
<area shape="rect" href="class_quant_lib_1_1_black_scholes_merton_process.html" title="Merton (1973) extension to the Black-Scholes stochastic process." alt="" coords="793,199,983,225"/>
<area shape="rect" href="class_quant_lib_1_1_black_scholes_process.html" title="Black-Scholes (1973) stochastic process." alt="" coords="813,249,963,276"/>
<area shape="rect" href="class_quant_lib_1_1_extended_black_scholes_merton_process.html" title="experimental Black-Scholes-Merton stochastic process" alt="" coords="789,301,987,342"/>
<area shape="rect" href="class_quant_lib_1_1_garman_kohlagen_process.html" title="Garman-Kohlhagen (1983) stochastic process." alt="" coords="803,367,973,393"/>
<area shape="rect" href="class_quant_lib_1_1_vega_stressed_black_scholes_process.html" title="Black-Scholes process which supports local vega stress tests." alt="" coords="796,418,980,459"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process1_d_1_1discretization.html">discretization</a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">discretization of a 1-D stochastic process <a href="class_quant_lib_1_1_stochastic_process1_d_1_1discretization.html#details">More...</a><br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
1-D stochastic process interface</h2></td></tr>
<tr class="memitem:a51a940500df8f947d270aaab06f53371"><td class="memItemLeft" align="right" valign="top"><a id="a51a940500df8f947d270aaab06f53371"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d_1_1discretization.html">discretization</a> > </td><td class="memItemRight" valign="bottom"><b>discretization_</b></td></tr>
<tr class="separator:a51a940500df8f947d270aaab06f53371"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac02c619851c7c95e6a7f08a284c568b0"><td class="memItemLeft" align="right" valign="top"><a id="ac02c619851c7c95e6a7f08a284c568b0"></a>
virtual <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_stochastic_process1_d.html#ac02c619851c7c95e6a7f08a284c568b0">x0</a> () const =0</td></tr>
<tr class="memdesc:ac02c619851c7c95e6a7f08a284c568b0"><td class="mdescLeft"> </td><td class="mdescRight">returns the initial value of the state variable <br /></td></tr>
<tr class="separator:ac02c619851c7c95e6a7f08a284c568b0"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6bded8896a46fad4d189950552432cd3"><td class="memItemLeft" align="right" valign="top"><a id="a6bded8896a46fad4d189950552432cd3"></a>
virtual <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_stochastic_process1_d.html#a6bded8896a46fad4d189950552432cd3">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 =0</td></tr>
<tr class="memdesc:a6bded8896a46fad4d189950552432cd3"><td class="mdescLeft"> </td><td class="mdescRight">returns the drift part of the equation, i.e. \( \mu(t, x_t) \) <br /></td></tr>
<tr class="separator:a6bded8896a46fad4d189950552432cd3"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:afaf479da3baa52185b369071b1689d89"><td class="memItemLeft" align="right" valign="top"><a id="afaf479da3baa52185b369071b1689d89"></a>
virtual <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_stochastic_process1_d.html#afaf479da3baa52185b369071b1689d89">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 =0</td></tr>
<tr class="memdesc:afaf479da3baa52185b369071b1689d89"><td class="mdescLeft"> </td><td class="mdescRight">returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) <br /></td></tr>
<tr class="separator:afaf479da3baa52185b369071b1689d89"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aee564ee8adf46c50265cd990b1dcd8a3"><td class="memItemLeft" align="right" valign="top">virtual <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_stochastic_process1_d.html#aee564ee8adf46c50265cd990b1dcd8a3">expectation</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html#ac02c619851c7c95e6a7f08a284c568b0">x0</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:aee564ee8adf46c50265cd990b1dcd8a3"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abb8a7016bec7d28872df221fb8995853"><td class="memItemLeft" align="right" valign="top">virtual <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_stochastic_process1_d.html#abb8a7016bec7d28872df221fb8995853">stdDeviation</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html#ac02c619851c7c95e6a7f08a284c568b0">x0</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:abb8a7016bec7d28872df221fb8995853"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5e92435fcc5c43be09e627494cf7a9d0"><td class="memItemLeft" align="right" valign="top">virtual <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_stochastic_process1_d.html#a5e92435fcc5c43be09e627494cf7a9d0">variance</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html#ac02c619851c7c95e6a7f08a284c568b0">x0</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt) const</td></tr>
<tr class="separator:a5e92435fcc5c43be09e627494cf7a9d0"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a096b196eb0c6e453acbd428ae378c7de"><td class="memItemLeft" align="right" valign="top">virtual <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_stochastic_process1_d.html#a096b196eb0c6e453acbd428ae378c7de">evolve</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html#ac02c619851c7c95e6a7f08a284c568b0">x0</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> dw) const</td></tr>
<tr class="separator:a096b196eb0c6e453acbd428ae378c7de"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6c8e95cb5b48a9ca86fef990c92c58c9"><td class="memItemLeft" align="right" valign="top">virtual <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_stochastic_process1_d.html#a6c8e95cb5b48a9ca86fef990c92c58c9">apply</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html#ac02c619851c7c95e6a7f08a284c568b0">x0</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> dx) const</td></tr>
<tr class="separator:a6c8e95cb5b48a9ca86fef990c92c58c9"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad98007dd5c830d050dfb0d4205094b9e"><td class="memItemLeft" align="right" valign="top"><a id="ad98007dd5c830d050dfb0d4205094b9e"></a>
 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess1D</b> ()</td></tr>
<tr class="separator:ad98007dd5c830d050dfb0d4205094b9e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7119a443854b505713e5e409dc6bf3e7"><td class="memItemLeft" align="right" valign="top"><a id="a7119a443854b505713e5e409dc6bf3e7"></a>
 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess1D</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d_1_1discretization.html">discretization</a> > &)</td></tr>
<tr class="separator:a7119a443854b505713e5e409dc6bf3e7"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
<tr class="separator:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_stochastic_process"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_stochastic_process')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a></td></tr>
<tr class="memitem:a33d9dda89ba7db93ae8b7d8c64122597 inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top"><a id="a33d9dda89ba7db93ae8b7d8c64122597"></a>
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#a33d9dda89ba7db93ae8b7d8c64122597">factors</a> () const</td></tr>
<tr class="memdesc:a33d9dda89ba7db93ae8b7d8c64122597 inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="mdescLeft"> </td><td class="mdescRight">returns the number of independent factors of the process <br /></td></tr>
<tr class="separator:a33d9dda89ba7db93ae8b7d8c64122597 inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a077542ff55ad755add55e8e5e8172cca inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#a077542ff55ad755add55e8e5e8172cca">time</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) const</td></tr>
<tr class="separator:a077542ff55ad755add55e8e5e8172cca inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stochastic_process.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_stochastic_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
<tr class="separator:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
<tr class="separator:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
<tr class="separator:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
<tr class="separator:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
<tr class="separator:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_stochastic_process"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_stochastic_process')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a></td></tr>
<tr class="memitem:afbd1bbfbbd50f17d99fa61f74dc16437 inherit pro_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top"><a id="afbd1bbfbbd50f17d99fa61f74dc16437"></a>
 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess</b> ()</td></tr>
<tr class="separator:afbd1bbfbbd50f17d99fa61f74dc16437 inherit pro_methods_class_quant_lib_1_1_stochastic_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a84749d046d61db59992e49b8a7940bc5 inherit pro_methods_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top"><a id="a84749d046d61db59992e49b8a7940bc5"></a>
 </td><td class="memItemRight" valign="bottom"><b>StochasticProcess</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > &)</td></tr>
<tr class="separator:a84749d046d61db59992e49b8a7940bc5 inherit pro_methods_class_quant_lib_1_1_stochastic_process"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_stochastic_process"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_stochastic_process')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a></td></tr>
<tr class="memitem:a51a940500df8f947d270aaab06f53371 inherit pro_attribs_class_quant_lib_1_1_stochastic_process"><td class="memItemLeft" align="right" valign="top"><a id="a51a940500df8f947d270aaab06f53371"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > </td><td class="memItemRight" valign="bottom"><b>discretization_</b></td></tr>
<tr class="separator:a51a940500df8f947d270aaab06f53371 inherit pro_attribs_class_quant_lib_1_1_stochastic_process"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>1-dimensional stochastic process </p>
<p>This class describes a stochastic process governed by </p><p class="formulaDsp">
\[ dx_t = \mu(t, x_t)dt + \sigma(t, x_t)dW_t. \]
</p>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="aee564ee8adf46c50265cd990b1dcd8a3"></a>
<h2 class="memtitle"><span class="permalink"><a href="#aee564ee8adf46c50265cd990b1dcd8a3">◆ </a></span>expectation()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
<tr>
<td class="mlabels-left">
<table class="memname">
<tr>
<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> expectation </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>dt</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
</tr>
</table>
</td>
<td class="mlabels-right">
<span class="mlabels"><span class="mlabel">virtual</span></span> </td>
</tr>
</table>
</div><div class="memdoc">
<p>returns the expectation \( E(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_ornstein_uhlenbeck_process.html#af718d7a907863b462830ca96dda4321c">OrnsteinUhlenbeckProcess</a>, <a class="el" href="class_quant_lib_1_1_mf_state_process.html#af718d7a907863b462830ca96dda4321c">MfStateProcess</a>, <a class="el" href="class_quant_lib_1_1_hull_white_forward_process.html#af718d7a907863b462830ca96dda4321c">HullWhiteForwardProcess</a>, <a class="el" href="class_quant_lib_1_1_hull_white_process.html#af718d7a907863b462830ca96dda4321c">HullWhiteProcess</a>, <a class="el" href="class_quant_lib_1_1_gsr_process.html#af718d7a907863b462830ca96dda4321c">GsrProcess</a>, <a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross_process.html#af718d7a907863b462830ca96dda4321c">CoxIngersollRossProcess</a>, <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#af718d7a907863b462830ca96dda4321c">GeneralizedBlackScholesProcess</a>, <a class="el" href="class_quant_lib_1_1_generalized_ornstein_uhlenbeck_process.html#af718d7a907863b462830ca96dda4321c">GeneralizedOrnsteinUhlenbeckProcess</a>, and <a class="el" href="class_quant_lib_1_1_extended_ornstein_uhlenbeck_process.html#af718d7a907863b462830ca96dda4321c">ExtendedOrnsteinUhlenbeckProcess</a>.</p>
</div>
</div>
<a id="abb8a7016bec7d28872df221fb8995853"></a>
<h2 class="memtitle"><span class="permalink"><a href="#abb8a7016bec7d28872df221fb8995853">◆ </a></span>stdDeviation()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
<tr>
<td class="mlabels-left">
<table class="memname">
<tr>
<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stdDeviation </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>dt</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
</tr>
</table>
</td>
<td class="mlabels-right">
<span class="mlabels"><span class="mlabel">virtual</span></span> </td>
</tr>
</table>
</div><div class="memdoc">
<p>returns the standard deviation \( S(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_ornstein_uhlenbeck_process.html#ac731332c432f5be07edc3bda917e6ea0">OrnsteinUhlenbeckProcess</a>, <a class="el" href="class_quant_lib_1_1_mf_state_process.html#ac731332c432f5be07edc3bda917e6ea0">MfStateProcess</a>, <a class="el" href="class_quant_lib_1_1_hull_white_forward_process.html#ac731332c432f5be07edc3bda917e6ea0">HullWhiteForwardProcess</a>, <a class="el" href="class_quant_lib_1_1_hull_white_process.html#ac731332c432f5be07edc3bda917e6ea0">HullWhiteProcess</a>, <a class="el" href="class_quant_lib_1_1_gsr_process.html#ac731332c432f5be07edc3bda917e6ea0">GsrProcess</a>, <a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross_process.html#ac731332c432f5be07edc3bda917e6ea0">CoxIngersollRossProcess</a>, <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ac731332c432f5be07edc3bda917e6ea0">GeneralizedBlackScholesProcess</a>, <a class="el" href="class_quant_lib_1_1_generalized_ornstein_uhlenbeck_process.html#ac731332c432f5be07edc3bda917e6ea0">GeneralizedOrnsteinUhlenbeckProcess</a>, <a class="el" href="class_quant_lib_1_1_geman_roncoroni_process.html#ac731332c432f5be07edc3bda917e6ea0">GemanRoncoroniProcess</a>, and <a class="el" href="class_quant_lib_1_1_extended_ornstein_uhlenbeck_process.html#ac731332c432f5be07edc3bda917e6ea0">ExtendedOrnsteinUhlenbeckProcess</a>.</p>
</div>
</div>
<a id="a5e92435fcc5c43be09e627494cf7a9d0"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a5e92435fcc5c43be09e627494cf7a9d0">◆ </a></span>variance()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
<tr>
<td class="mlabels-left">
<table class="memname">
<tr>
<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> variance </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>dt</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
</tr>
</table>
</td>
<td class="mlabels-right">
<span class="mlabels"><span class="mlabel">virtual</span></span> </td>
</tr>
</table>
</div><div class="memdoc">
<p>returns the variance \( V(x_{t_0 + \Delta t} | x_{t_0} = x_0) \) of the process after a time interval \( \Delta t \) according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_gsr_process.html#a2f9fbbbf7920587a06b82ea6579e163c">GsrProcess</a>, <a class="el" href="class_quant_lib_1_1_ornstein_uhlenbeck_process.html#a5da3e29d59b0c10b20f760739de77535">OrnsteinUhlenbeckProcess</a>, <a class="el" href="class_quant_lib_1_1_mf_state_process.html#a5da3e29d59b0c10b20f760739de77535">MfStateProcess</a>, <a class="el" href="class_quant_lib_1_1_hull_white_forward_process.html#a5da3e29d59b0c10b20f760739de77535">HullWhiteForwardProcess</a>, <a class="el" href="class_quant_lib_1_1_hull_white_process.html#a5da3e29d59b0c10b20f760739de77535">HullWhiteProcess</a>, <a class="el" href="class_quant_lib_1_1_cox_ingersoll_ross_process.html#a5da3e29d59b0c10b20f760739de77535">CoxIngersollRossProcess</a>, <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#a5da3e29d59b0c10b20f760739de77535">GeneralizedBlackScholesProcess</a>, <a class="el" href="class_quant_lib_1_1_generalized_ornstein_uhlenbeck_process.html#a5da3e29d59b0c10b20f760739de77535">GeneralizedOrnsteinUhlenbeckProcess</a>, and <a class="el" href="class_quant_lib_1_1_extended_ornstein_uhlenbeck_process.html#a5da3e29d59b0c10b20f760739de77535">ExtendedOrnsteinUhlenbeckProcess</a>.</p>
</div>
</div>
<a id="a096b196eb0c6e453acbd428ae378c7de"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a096b196eb0c6e453acbd428ae378c7de">◆ </a></span>evolve()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
<tr>
<td class="mlabels-left">
<table class="memname">
<tr>
<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> evolve </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>dt</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>dw</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
</tr>
</table>
</td>
<td class="mlabels-right">
<span class="mlabels"><span class="mlabel">virtual</span></span> </td>
</tr>
</table>
</div><div class="memdoc">
<p>returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns </p><p class="formulaDsp">
\[ E(x_0,t_0,\Delta t) + S(x_0,t_0,\Delta t) \cdot \Delta w \]
</p>
<p> where \( E \) is the expectation and \( S \) the standard deviation. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#aa81fd19ade75674de0a4bcbacd4a26ba">GeneralizedBlackScholesProcess</a>, <a class="el" href="class_quant_lib_1_1_geman_roncoroni_process.html#aa81fd19ade75674de0a4bcbacd4a26ba">GemanRoncoroniProcess</a>, and <a class="el" href="class_quant_lib_1_1_extended_black_scholes_merton_process.html#aa81fd19ade75674de0a4bcbacd4a26ba">ExtendedBlackScholesMertonProcess</a>.</p>
</div>
</div>
<a id="a6c8e95cb5b48a9ca86fef990c92c58c9"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a6c8e95cb5b48a9ca86fef990c92c58c9">◆ </a></span>apply()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
<tr>
<td class="mlabels-left">
<table class="memname">
<tr>
<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> apply </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>x0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>dx</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
</tr>
</table>
</td>
<td class="mlabels-right">
<span class="mlabels"><span class="mlabel">virtual</span></span> </td>
</tr>
</table>
</div><div class="memdoc">
<p>applies a change to the asset value. By default, it returns \( x + \Delta x \). </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_merton76_process.html#a80c11f9def74e04938f4c2319722c37c">Merton76Process</a>, and <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#a181565755d35d36c7bf732e1905f3661">GeneralizedBlackScholesProcess</a>.</p>
</div>
</div>
</div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
