- QuantLib
- StochasticProcess1D
- discretization
discretization of a 1-D stochastic process More...
#include <ql/stochasticprocess.hpp>
Public Member Functions | |
virtual Real | drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 |
virtual Real | diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 |
virtual Real | variance (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 |
discretization of a 1-D stochastic process