- QuantLib
- StochasticProcess1D
 
1-dimensional stochastic process More...
#include <ql/stochasticprocess.hpp>

| Classes | |
| class | discretization | 
| discretization of a 1-D stochastic process  More... | |
| Public Member Functions | |
| 1-D stochastic process interface | |
| virtual Real | x0 () const =0 | 
| returns the initial value of the state variable | |
| virtual Real | drift (Time t, Real x) const =0 | 
| returns the drift part of the equation, i.e.   | |
| virtual Real | diffusion (Time t, Real x) const =0 | 
| returns the diffusion part of the equation, i.e.   | |
| virtual Real | expectation (Time t0, Real x0, Time dt) const | 
| virtual Real | stdDeviation (Time t0, Real x0, Time dt) const | 
| virtual Real | variance (Time t0, Real x0, Time dt) const | 
| virtual Real | evolve (Time t0, Real x0, Time dt, Real dw) const | 
| virtual Real | apply (Real x0, Real dx) const | 
| Protected Member Functions | |
| StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
| Protected Attributes | |
| boost::shared_ptr< discretization > | discretization_ | 
1-dimensional stochastic process
This class describes a stochastic process governed by
![\[ dx_t = \mu(t, x_t)dt + \sigma(t, x_t)dW_t. \]](form_350.png) 
| virtual Real expectation | ( | Time | t0, | 
| Real | x0, | ||
| Time | dt | ||
| ) | const  [virtual] | 
returns the expectation  of the process after a time interval
 of the process after a time interval  according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
 according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. 
Reimplemented in HullWhiteForwardProcess, GeneralizedBlackScholesProcess, ExtendedOrnsteinUhlenbeckProcess, GeneralizedOrnsteinUhlenbeckProcess, OrnsteinUhlenbeckProcess, and HullWhiteProcess.
| virtual Real stdDeviation | ( | Time | t0, | 
| Real | x0, | ||
| Time | dt | ||
| ) | const  [virtual] | 
returns the standard deviation  of the process after a time interval
 of the process after a time interval  according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
 according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. 
Reimplemented in HullWhiteForwardProcess, ExtendedOrnsteinUhlenbeckProcess, GemanRoncoroniProcess, GeneralizedOrnsteinUhlenbeckProcess, OrnsteinUhlenbeckProcess, and HullWhiteProcess.
returns the variance  of the process after a time interval
 of the process after a time interval  according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
 according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. 
Reimplemented in HullWhiteForwardProcess, OrnsteinUhlenbeckProcess, ExtendedOrnsteinUhlenbeckProcess, GeneralizedOrnsteinUhlenbeckProcess, and HullWhiteProcess.
returns the asset value after a time interval  according to the given discretization. By default, it returns
 according to the given discretization. By default, it returns 
![\[ E(x_0,t_0,\Delta t) + S(x_0,t_0,\Delta t) \cdot \Delta w \]](form_365.png) 
 where  is the expectation and
 is the expectation and  the standard deviation.
 the standard deviation. 
Reimplemented in GeneralizedBlackScholesProcess, GemanRoncoroniProcess, and ExtendedBlackScholesMertonProcess.
applies a change to the asset value. By default, it returns  .
. 
Reimplemented in GeneralizedBlackScholesProcess, and Merton76Process.