C# Class QLNet.EulerDiscretization

Inheritance: IDiscretization, IDiscretization1D

Show file Open project: ammachado/QLNet

Public Methods

Method	Description
covariance ( QLNet.StochasticProcess process, double t0, Vector x0, double dt ) : Matrix
diffusion ( QLNet.StochasticProcess process, double t0, Vector x0, double dt ) : Matrix
diffusion ( QLNet.StochasticProcess1D process, double t0, double x0, double dt ) : double
drift ( QLNet.StochasticProcess process, double t0, Vector x0, double dt ) : Vector
drift ( QLNet.StochasticProcess1D process, double t0, double x0, double dt ) : double
variance ( QLNet.StochasticProcess1D process, double t0, double x0, double dt ) : double

Method Details

covariance() public method

public covariance ( QLNet.StochasticProcess process, double t0, Vector x0, double dt ) : Matrix
process	QLNet.StochasticProcess
t0	double
x0	Vector
dt	double
return	Matrix

diffusion() public method

public diffusion ( QLNet.StochasticProcess process, double t0, Vector x0, double dt ) : Matrix
process	QLNet.StochasticProcess
t0	double
x0	Vector
dt	double
return	Matrix

diffusion() public method

public diffusion ( QLNet.StochasticProcess1D process, double t0, double x0, double dt ) : double
process	QLNet.StochasticProcess1D
t0	double
x0	double
dt	double
return	double

drift() public method

public drift ( QLNet.StochasticProcess process, double t0, Vector x0, double dt ) : Vector
process	QLNet.StochasticProcess
t0	double
x0	Vector
dt	double
return	Vector

drift() public method

public drift ( QLNet.StochasticProcess1D process, double t0, double x0, double dt ) : double
process	QLNet.StochasticProcess1D
t0	double
x0	double
dt	double
return	double

variance() public method

public variance ( QLNet.StochasticProcess1D process, double t0, double x0, double dt ) : double
process	QLNet.StochasticProcess1D
t0	double
x0	double
dt	double
return	double