QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Attributes | List of all members
GeometricBrownianMotionProcess Class Reference

Geometric brownian-motion process. More...

#include <ql/processes/geometricbrownianprocess.hpp>

+ Inheritance diagram for GeometricBrownianMotionProcess:

Public Member Functions

 GeometricBrownianMotionProcess (double initialValue, double mue, double sigma)
 
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. \( \mu(t, x_t) \)
 
Real diffusion (Time t, Real x) const
 returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \)
 
- Public Member Functions inherited from StochasticProcess1D
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
 
- Public Member Functions inherited from StochasticProcess
virtual Size factors () const
 returns the number of independent factors of the process
 
virtual Time time (const Date &) const
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

double initialValue_
 
double mue_
 
double sigma_
 
- Protected Attributes inherited from StochasticProcess1D
boost::shared_ptr< discretizationdiscretization_
 
- Protected Attributes inherited from StochasticProcess
boost::shared_ptr< discretizationdiscretization_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from StochasticProcess1D
 StochasticProcess1D (const boost::shared_ptr< discretization > &)
 
- Protected Member Functions inherited from StochasticProcess
 StochasticProcess (const boost::shared_ptr< discretization > &)
 

Detailed Description

Geometric brownian-motion process.

This class describes the stochastic process governed by

\[ dS(t, S)= \mu S dt + \sigma S dW_t. \]