- QuantLib
- SquareRootProcess
 
Square-root process class. More...
#include <ql/processes/squarerootprocess.hpp>

| Public Member Functions | |
| SquareRootProcess (Real b, Real a, Volatility sigma, Real x0=0.0, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) | |
| StochasticProcess interface | |
| Real | x0 () const | 
| returns the initial value of the state variable | |
| Real | drift (Time t, Real x) const | 
| returns the drift part of the equation, i.e.   | |
| Real | diffusion (Time t, Real x) const | 
| returns the diffusion part of the equation, i.e.   | |
Square-root process class.
This class describes a square-root process governed by
![\[ dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t. \]](form_348.png)