StochasticProcess::discretization Class Reference

discretization of a stochastic process over a given time interval More...

#include <ql/stochasticprocess.hpp>

Inheritance diagram for StochasticProcess::discretization:

Public Member Functions
virtual Disposable< Array >	drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
virtual Disposable< Matrix >	diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0
virtual Disposable< Matrix >	covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0

Detailed Description

discretization of a stochastic process over a given time interval