QuantLib: StochasticProcess::discretization Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
StochasticProcess::discretization Class Referenceabstract

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

`#include <ql/stochasticprocess.hpp>`

Inheritance diagram for StochasticProcess::discretization:
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## 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