| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2003 Ferdinando Ametrano |
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| 5 | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
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| 6 | Copyright (C) 2004, 2005 StatPro Italia srl |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | #include <ql/processes/geometricbrownianprocess.hpp> |
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| 23 | #include <ql/processes/eulerdiscretization.hpp> |
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| 24 | |
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| 25 | namespace QuantLib { |
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| 26 | |
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| 27 | GeometricBrownianMotionProcess::GeometricBrownianMotionProcess( |
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| 28 | double initialValue, |
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| 29 | double mue, |
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| 30 | double sigma) |
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| 31 | : StochasticProcess1D(ext::shared_ptr<discretization>( |
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| 32 | new EulerDiscretization)), |
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| 33 | initialValue_(initialValue), mue_(mue), sigma_(sigma) {} |
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| 34 | |
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| 35 | Real GeometricBrownianMotionProcess::x0() const { |
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| 36 | return initialValue_; |
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| 37 | } |
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| 38 | |
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| 39 | Real GeometricBrownianMotionProcess::drift(Time, Real x) const { |
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| 40 | return mue_ * x; |
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| 41 | } |
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| 42 | |
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| 43 | Real GeometricBrownianMotionProcess::diffusion(Time, Real x) const { |
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| 44 | return sigma_ * x; |
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| 45 | } |
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| 46 | |
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| 47 | } |
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| 48 | |
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