C# Class QLNet.OrnsteinUhlenbeckProcess

Inheritance: QLNet.StochasticProcess1D

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Public Methods

Method	Description
OrnsteinUhlenbeckProcess ( double speed, double vol ) : System
OrnsteinUhlenbeckProcess ( double speed, double vol, double x0 ) : System
OrnsteinUhlenbeckProcess ( double speed, double vol, double x0, double level ) : System
diffusion ( double UnnamedParameter1, double UnnamedParameter2 ) : double
drift ( double UnnamedParameter1, double x ) : double
expectation ( double UnnamedParameter1, double x0, double dt ) : double
level ( ) : double
speed ( ) : double
stdDeviation ( double t, double x0, double dt ) : double
variance ( double UnnamedParameter1, double UnnamedParameter2, double dt ) : double
volatility ( ) : double
x0 ( ) : double

Method Details

OrnsteinUhlenbeckProcess() public method

public OrnsteinUhlenbeckProcess ( double speed, double vol ) : System
speed	double
vol	double
return	System

OrnsteinUhlenbeckProcess() public method

public OrnsteinUhlenbeckProcess ( double speed, double vol, double x0 ) : System
speed	double
vol	double
x0	double
return	System

OrnsteinUhlenbeckProcess() public method

public OrnsteinUhlenbeckProcess ( double speed, double vol, double x0, double level ) : System
speed	double
vol	double
x0	double
level	double
return	System

diffusion() public method

public diffusion ( double UnnamedParameter1, double UnnamedParameter2 ) : double
UnnamedParameter1	double
UnnamedParameter2	double
return	double

drift() public method

public drift ( double UnnamedParameter1, double x ) : double
UnnamedParameter1	double
x	double
return	double

expectation() public method

public expectation ( double UnnamedParameter1, double x0, double dt ) : double
UnnamedParameter1	double
x0	double
dt	double
return	double

level() public method

public level ( ) : double
return	double

speed() public method

public speed ( ) : double
return	double

stdDeviation() public method

public stdDeviation ( double t, double x0, double dt ) : double
t	double
x0	double
dt	double
return	double

variance() public method

public variance ( double UnnamedParameter1, double UnnamedParameter2, double dt ) : double
UnnamedParameter1	double
UnnamedParameter2	double
dt	double
return	double

volatility() public method

public volatility ( ) : double
return	double

x0() public method

public x0 ( ) : double
return	double