C# Class QLNet.GeometricBrownianMotionProcess

Inheritance: QLNet.StochasticProcess1D

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Protected Properties

Property	Type	Description
initialValue_	double
mue_	double
sigma_	double

Public Methods

Method	Description
GeometricBrownianMotionProcess ( double initialValue, double mue, double sigma ) : System
diffusion ( double t, double x ) : double
drift ( double t, double x ) : double
x0 ( ) : double

Method Details

GeometricBrownianMotionProcess() public method

public GeometricBrownianMotionProcess ( double initialValue, double mue, double sigma ) : System
initialValue	double
mue	double
sigma	double
return	System

diffusion() public method

public diffusion ( double t, double x ) : double
t	double
x	double
return	double

drift() public method

public drift ( double t, double x ) : double
t	double
x	double
return	double

x0() public method

public x0 ( ) : double
return	double

Property Details

initialValue_ protected_oe property

protected double initialValue_
return	double

mue_ protected_oe property

protected double mue_
return	double

sigma_ protected_oe property

protected double sigma_
return	double