Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


Go to the documentation of this file.
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2004, 2005 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

/*! \file squarerootprocess.hpp
    \brief square-root process

#ifndef quantlib_square_root_process_hpp
#define quantlib_square_root_process_hpp

#include <ql/stochasticprocess.hpp>
#include <ql/Processes/eulerdiscretization.hpp>

namespace QuantLib {

    //! Square-root process class
    /*! This class describes a square-root process governed by
            dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t.
00040     class SquareRootProcess : public StochasticProcess1D {
            Real b, Real a, Volatility sigma, Real x0 = 0.0,
            const boost::shared_ptr<discretization>& d =
                  boost::shared_ptr<discretization>(new EulerDiscretization));
        //! \name StochasticProcess interface
        Real x0() const;
        Real drift(Time t, Real x) const;
        Real diffusion(Time t, Real x) const;
        Real x0_, mean_, speed_;
        Volatility volatility_;



Generated by  Doxygen 1.6.0   Back to index