QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
StochasticProcess::discretization Class Referenceabstract

discretization of a stochastic process over a given time interval More...

#include <ql/stochasticprocess.hpp>

+ Inheritance diagram for StochasticProcess::discretization:

Public Member Functions

virtual Disposable< Arraydrift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
 
virtual Disposable< Matrixdiffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
 
virtual Disposable< Matrixcovariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
 

Detailed Description

discretization of a stochastic process over a given time interval