SquareRootProcess Class Reference

#include <ql/diffusionprocess.hpp>

Inheritance diagram for SquareRootProcess:

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.

QuantLib 0.3.6

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SquareRootProcess Class Reference

Detailed Description

Public Member Functions

Member Function Documentation