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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/processes/geometricbrownianprocess.hpp>
#include <ql/processes/eulerdiscretization.hpp>
namespace QuantLib {
GeometricBrownianMotionProcess::GeometricBrownianMotionProcess(
double initialValue,
double mue,
double sigma)
: StochasticProcess1D(boost::shared_ptr<discretization>(
new EulerDiscretization)),
initialValue_(initialValue), mue_(mue), sigma_(sigma) {}
Real GeometricBrownianMotionProcess::x0() const {
return initialValue_;
}
Real GeometricBrownianMotionProcess::drift(Time, Real x) const {
return mue_ * x;
}
Real GeometricBrownianMotionProcess::diffusion(Time, Real x) const {
return sigma_ * x;
}
}
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