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ScalarBrownianMotion Class Reference

#include <StochasticProcesses.h>

Inheritance diagram for ScalarBrownianMotion:

BrownianScalarProcess StochasticProcess< Real, Real > List of all members.

Detailed Description

Brownian motion starting at the origin in dimension one.

Definition at line 56 of file StochasticProcesses.h.

Public Member Functions

 ScalarBrownianMotion (int T, Real dt, Real x0=0.0)
void timeStep (int t)


Constructor & Destructor Documentation

ScalarBrownianMotion::ScalarBrownianMotion int    T,
Real    dt,
Real    x0 = 0.0
 

Parameters:
T number of time steps to horizon.
dt size of time step.
x0 starting point of the Brownian motion (default: the origin).


Member Function Documentation

void ScalarBrownianMotion::timeStep int    t [virtual]
 

Time step t->t+1 based on current Z-increments.

Implements StochasticProcess< Real, Real >.


The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3