Constructor and Description |
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ExpectationAtEndTime(SDE sde,
double T0,
double T,
int nT,
double x0,
int nSims)
Compute the expectation of a stochastic SDE at the end time.
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RandomRealizationOfRandomProcess(SDE sde,
int size)
Construct a random realization generator from an SDE.
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RandomRealizationOfRandomProcess(SDE sde,
TimeGrid timeGrid,
double x0)
Construct a random realization generator from an SDE.
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Constructor and Description |
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EulerSDE(SDE sde)
Discretize a continuous-time SDE using the Euler scheme.
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MilsteinSDE(SDE sde)
Discretize a continuous-time SDE using the Milstein scheme.
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Modifier and Type | Class and Description |
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class |
GBMProcess
A Geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is
a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion.
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Modifier and Type | Class and Description |
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class |
OrnsteinUhlenbeckProcess
This class represents a univariate Ornstein-Uhlenbeck (OU) process.
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