SquareRootProcess Class Reference

#include <ql/diffusionprocess.hpp>

Inheritance diagram for SquareRootProcess:

Inheritance graph
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Detailed Description

Square-root process class.

This class describes a square-root process governed by

\[ dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t. \]


Public Member Functions

 SquareRootProcess (double b, double a, double sigma, double x0=0)
double drift (Time t, double x) const
 returns the drift part of the equation, i.e. $ \mu(t, x_t) $

double diffusion (Time t, double x) const


Member Function Documentation

double diffusion Time  t,
double  x
const [virtual]
 

returns the diffusion part of the equation, i.e. $\sigma(t, x_t)$

Implements DiffusionProcess.


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