1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
6 Copyright (C) 2004, 2005 StatPro Italia srl
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file geometricbrownianprocess.hpp
23 \brief Geometric Brownian-motion process
24*/
25
26#ifndef quantlib_geometric_brownian_process_hpp
27#define quantlib_geometric_brownian_process_hpp
28
29#include <ql/stochasticprocess.hpp>
30
31namespace QuantLib {
32
33 //! Geometric brownian-motion process
34 /*! This class describes the stochastic process governed by
35 \f[
36 dS(t, S)= \mu S dt + \sigma S dW_t.
37 \f]
38
39 \ingroup processes
40 */
41 class GeometricBrownianMotionProcess : public StochasticProcess1D {
42 public:
43 GeometricBrownianMotionProcess(double initialValue,
44 double mue,
45 double sigma);
46 Real x0() const override;
47 Real drift(Time t, Real x) const override;
48 Real diffusion(Time t, Real x) const override;
49
50 protected:
51 double initialValue_;
52 double mue_;
53 double sigma_;
54 };
55
56}
57
58
59#endif
60

source code of quantlib/ql/processes/geometricbrownianprocess.hpp