- QuantLib
- GeometricBrownianMotionProcess
Geometric brownian-motion process. More...
#include <ql/processes/geometricbrownianprocess.hpp>

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. | |
| Real | diffusion (Time t, Real x) const |
returns the diffusion part of the equation, i.e. | |
Protected Attributes | |
| double | initialValue_ |
| double | mue_ |
| double | sigma_ |
Geometric brownian-motion process.
This class describes the stochastic process governed by