geometricBrownianMotion.hpp

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#ifndef JULIAN_GEOMETRICBROWNIANMOTION_HPP
#define JULIAN_GEOMETRICBROWNIANMOTION_HPP

#include <mathematics/stochasticProcesses/stochasticProcess.hpp>

namespace julian {

  class GeometricBrownianMotion: public StochasticProcess {
  public:
    GeometricBrownianMotion(){};
    GeometricBrownianMotion(double drift, double volatility);
    void setDrift(double);
    void setVolatility(double);  

    Path getPath(double, const TimeGrid&, SmartPointer<UniformRNG>& rng) const;
    Path getPath(double, const TimeGrid&, const std::vector<double>&) const; 

    virtual GeometricBrownianMotion* clone() const;
    virtual ~GeometricBrownianMotion(){};
  private:
    double drift_;  
    double volatility_; 
  };
}
#endif