julian/a00493_source.html

 #ifndef JULIAN_ARITHEMTICBROWNIANMOTION_HPP
 #define JULIAN_ARITHEMTICBROWNIANMOTION_HPP

 #include <mathematics/stochasticProcesses/stochasticProcess.hpp>

 namespace julian {
   class ArithmeticBrownianMotion: public StochasticProcess {
   public:
     ArithmeticBrownianMotion(double drift, double volatility);
     Path getPath(double,const TimeGrid&,SmartPointer<UniformRNG>&) const;
     Path getPath(double,const TimeGrid&,const std::vector<double>&) const;
     virtual ArithmeticBrownianMotion* clone() const;
     virtual ~ArithmeticBrownianMotion(){};

     void setDrift(double);
     void setVolatility(double);

   private:
     double drift_;
     double volatility_;
   };
 }  // namespace julian
 #endif
julian::TimeGrid
Class implements a TimeGrid object.
Definition: timeGrid.hpp:21

julian::ArithmeticBrownianMotion::ArithmeticBrownianMotion
ArithmeticBrownianMotion(double drift, double volatility)
constructor
Definition: arithmeticBrownianMotion.cpp:9

julian::Path
Path is a series of real numbers indexed with time. In general, it is identical with a series of time...
Definition: path.hpp:18

julian::ArithmeticBrownianMotion::drift_
double drift_
Drift of the Arithmetic Brownian Motion.
Definition: arithmeticBrownianMotion.hpp:34

julian
Definition: cadHoliday.cpp:3

julian::ArithmeticBrownianMotion
Class is implements arithmetic Brownian motion.
Definition: arithmeticBrownianMotion.hpp:22

julian::SmartPointer
Template of deep-coping smart pointer.
Definition: smartPointer.hpp:14

julian::StochasticProcess
Class is an abstract type expressing the concept of stochastic process.
Definition: stochasticProcess.hpp:20

julian::ArithmeticBrownianMotion::clone
virtual ArithmeticBrownianMotion * clone() const
Virtual copy constructor.
Definition: arithmeticBrownianMotion.cpp:50

julian::ArithmeticBrownianMotion::setVolatility
void setVolatility(double)
sets volatility
Definition: arithmeticBrownianMotion.cpp:62

julian::ArithmeticBrownianMotion::volatility_
double volatility_
Volatility of the Arithmetic Brownian Motion.
Definition: arithmeticBrownianMotion.hpp:35

julian::ArithmeticBrownianMotion::getPath
Path getPath(double, const TimeGrid &, SmartPointer< UniformRNG > &) const
Generates path.
Definition: arithmeticBrownianMotion.cpp:22

stochasticProcess.hpp
File contains interface for stochastic processes.

julian::ArithmeticBrownianMotion::setDrift
void setDrift(double)
sets drift
Definition: arithmeticBrownianMotion.cpp:56