Class is implements geometric Brownian motion. More...

#include <geometricBrownianMotion.hpp>

Inheritance diagram for julian::GeometricBrownianMotion:

Public Member Functions
	GeometricBrownianMotion (double drift, double volatility)
	constructor More...

void	setDrift (double)
	sets drift More...

void	setVolatility (double)
	sets volatility More...

Path	getPath (double, const TimeGrid &, SmartPointer< UniformRNG > &rng) const
	generates path More...

Path	getPath (double, const TimeGrid &, const std::vector< double > &) const
	generates path More...

virtual GeometricBrownianMotion *	clone () const
	Virtual copy constructor. More...

Public Member Functions inherited from julian::StochasticProcess
	StochasticProcess ()
	Constructor. More...

virtual	~StochasticProcess ()
	Destructor. More...

Private Attributes
double	drift_
	Drift of the Geometric Brownian Motion. More...

double	volatility_
	Volatility of the Geometric Brownian Motion. More...

Detailed Description

Class is implements geometric Brownian motion.

Arithmetic Geometric Motion (ABM) is a stochastic process governed by following SDE:

$\frac{dX_{t}}{X_{t}} = \mu dt + \sigma dW_{t}$

where:

$\mu$ is drift
$\sigma$ is volatility
is Wiener Process

Constructor & Destructor Documentation

julian::GeometricBrownianMotion::GeometricBrownianMotion	(	double	drift,
		double	volatility
	)

constructor

Member Function Documentation

GeometricBrownianMotion * julian::GeometricBrownianMotion::clone ( ) const

virtual

Virtual copy constructor.

Implements julian::StochasticProcess.

Path julian::GeometricBrownianMotion::getPath	(	double	x0,
		const TimeGrid &	tg,
		SmartPointer< UniformRNG > &	rng
	)		const

virtual

generates path

Parameters

x0	Value of the process for t = 0;
tg	in time for which the value of process is generated
rng	random number generator that will be used to generate stochastic process

Returns: path representing time series

Implements julian::StochasticProcess.

Path julian::GeometricBrownianMotion::getPath	(	double	x0,
		const TimeGrid &	tg,
		const std::vector< double > &	rnds
	)		const

virtual

generates path

Parameters

x0	Value of the process for t = 0;
tg	in time for which the value of process is generated
rnds	random number that will be used to generate the path

Returns: path representing time series

Implements julian::StochasticProcess.

void julian::GeometricBrownianMotion::setDrift ( double drift )

sets drift

void julian::GeometricBrownianMotion::setVolatility ( double volatility )

sets volatility

Member Data Documentation

double julian::GeometricBrownianMotion::drift_

private

Drift of the Geometric Brownian Motion.

double julian::GeometricBrownianMotion::volatility_

private

Volatility of the Geometric Brownian Motion.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/mathematics/stochasticProcesses/geometricBrownianMotion.hpp
C:/Unix/home/OEM/jULIAN/src/mathematics/stochasticProcesses/geometricBrownianMotion.cpp

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation