QuantLib 0.3.11 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

StochasticProcess::discretization Class Reference #include <ql/stochasticprocess.hpp> Inheritance diagram for StochasticProcess::discretization: [legend]List of all members. Detailed Description discretization of a stochastic process over a given time interval Public Member Functions virtual Disposable< Array >  drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 virtual Disposable< Matrix >  diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 virtual Disposable< Matrix >  covariance (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0

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