StochasticProcess1D::discretization Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for StochasticProcess1D::discretization:

List of all members.


Detailed Description

discretization of a 1-D stochastic process

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