/usr/include/ql/processes/geometricbrownianprocess.hpp is in libquantlib0-dev 1.4-2+b1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file geometricbrownianprocess.hpp
\brief Geometric Brownian-motion process
*/
#ifndef quantlib_geometric_brownian_process_hpp
#define quantlib_geometric_brownian_process_hpp
#include <ql/stochasticprocess.hpp>
namespace QuantLib {
//! Geometric brownian-motion process
/*! This class describes the stochastic process governed by
\f[
dS(t, S)= \mu S dt + \sigma S dW_t.
\f]
\ingroup processes
*/
class GeometricBrownianMotionProcess : public StochasticProcess1D {
public:
GeometricBrownianMotionProcess(double initialValue,
double mue,
double sigma);
Real x0() const;
Real drift(Time t, Real x) const;
Real diffusion(Time t, Real x) const;
protected:
double initialValue_;
double mue_;
double sigma_;
};
}
#endif
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