- QuantLib
- GemanRoncoroniProcess
Geman-Roncoroni process class. More...
#include <ql/experimental/processes/gemanroncoroniprocess.hpp>
Public Member Functions | |
GemanRoncoroniProcess (Real x0, Real alpha, Real beta, Real gamma, Real delta, Real eps, Real zeta, Real d, Real k, Real tau, Real sig2, Real a, Real b, Real theta1, Real theta2, Real theta3, Real psi) | |
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. ![]() | |
Real | stdDeviation (Time t0, Real x0, Time dt) const |
Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
Real | evolve (Time t0, Real x0, Time dt, Real dw, const Array &du) const |
Geman-Roncoroni process class.
This class describes the Geman-Roncoroni process governed by
Real stdDeviation | ( | Time | t0, |
Real | x0, | ||
Time | dt | ||
) | const [virtual] |
returns the standard deviation 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.
Reimplemented from StochasticProcess1D.