CFL
|
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()) |
This namespace contains implementations of the basic financial model where the state process is a standard Brownian motion and the interest rate equals zero.
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.
dQuality | A trade-off between speed and accuracy of the implementation of the basic state process. |
rRollback | An implementation of the operator of conditional expectation with respect to gaussian distribution. |
rInd | A numerically efficient implementation of discontinuous functions. |
rInterp | An implementation of numerical interpolation. |