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Real QuantLib::OrnsteinUhlenbeckProcess::variance ( Time  t0,
Real  x0,
Time  dt 
) const [virtual]

returns the variance $ V(x_{t_0 + \Delta t} | x_{t_0} = x_0) $ of the process after a time interval $ \Delta t $ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from QuantLib::StochasticProcess1D.

Definition at line 53 of file ornsteinuhlenbeckprocess.cpp.

Referenced by stdDeviation().

                                                                     {
        return 0.5*volatility_*volatility_/speed_*
            (1.0 - std::exp(-2.0*speed_*dt));
    }

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