GeometricBrownianMotionProcess Class Reference

#include <ql/stochasticprocess.hpp>

Inheritance diagram for GeometricBrownianMotionProcess:

Detailed Description

Geometric brownian motion process.

This class describes the stochastic process governed by

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

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. $\sigma(t, x_t)$

Protected Attributes

double initialValue_

double mue_

double sigma_

QuantLib 0.3.8

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Reference manual

GeometricBrownianMotionProcess Class Reference

Detailed Description

Public Member Functions

Protected Attributes