julian/a00502_source.html

 #ifndef JULIAN_STOCHASTICPROCESS_HPP
 #define JULIAN_STOCHASTICPROCESS_HPP

 #include <mathematics/stochasticProcesses/path.hpp>
 #include <utils/smartPointer.hpp>
 #include <mathematics/RNGs/uniformRNG.hpp>

 namespace julian {
   class StochasticProcess {
   public:
     StochasticProcess(){};

     virtual Path getPath(double initial_value, const TimeGrid& grid, SmartPointer<UniformRNG>& rng) const = 0;

     virtual Path getPath(double initial_value, const TimeGrid& grid, const std::vector<double>& rnds) const = 0;

     virtual StochasticProcess* clone() const = 0;

     virtual ~StochasticProcess(){};

   private:
   };
 }  // namespace julian

 #endif
smartPointer.hpp
File contains template of deep-coping smart pointer.

julian::TimeGrid
Class implements a TimeGrid object.
Definition: timeGrid.hpp:21

path.hpp
File contains implementation of Path object.

julian::StochasticProcess::~StochasticProcess
virtual ~StochasticProcess()
Destructor.
Definition: stochasticProcess.hpp:59

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
Definition: cadHoliday.cpp:3

julian::StochasticProcess::StochasticProcess
StochasticProcess()
Constructor.
Definition: stochasticProcess.hpp:27

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

uniformRNG.hpp
File contains implementation of RNG generating random variables from uniform distribution.

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

julian::StochasticProcess::clone
virtual StochasticProcess * clone() const  =0
Virtual copy constructor.

julian::StochasticProcess::getPath
virtual Path getPath(double initial_value, const TimeGrid &grid, SmartPointer< UniformRNG > &rng) const  =0
generates path