CFL
Functions

Implementations of class Brownian. More...

Functions

Brownian model (double dQuality, const GaussRollback &rRollback=NGaussRollback::improved(), const Ind &rInd=NInd::smart(), const Interp &rInterp=NInterp::spline())
 

Detailed Description

This namespace contains implementations of the basic financial model where the state process is a standard Brownian motion and the interest rate equals zero.

Function Documentation

Brownian cfl::NBrownian::model ( double  dQuality,
const GaussRollback rRollback = NGaussRollback::improved(),
const Ind rInd = NInd::smart(),
const Interp rInterp = NInterp::spline() 
)

Implements Brownian model from different components.

Parameters
dQualityA trade-off between speed and accuracy of the implementation of the basic state process.
rRollbackAn implementation of the operator of conditional expectation with respect to gaussian distribution.
rIndA numerically efficient implementation of discontinuous functions.
rInterpAn implementation of numerical interpolation.
Returns
Implementation of Brownian model.