#include <stochastic_process.h>
Public Member Functions | |
GBM (int num_samples, int dim, double *Xo, double *mu, double *cov) | |
~GBM () | |
double | outcome (int sample_indx, int dim_indx, double Time) const |
Private Attributes | |
const int | num_samples |
const int | dim |
const double * | Xo |
const double * | mu |
const double * | sigma |
RandomNumber ** | Z |
double ** | Zptr |
double * | sig_squared |
GBM::GBM | ( | int | num_samples, | |
int | dim, | |||
double * | Xo, | |||
double * | mu, | |||
double * | cov | |||
) |
GBM::~GBM | ( | ) |
double GBM::outcome | ( | int | sample_indx, | |
int | dim_indx, | |||
double | Time | |||
) | const |
const int GBM::num_samples [private] |
const int GBM::dim [private] |
const double* GBM::Xo [private] |
const double* GBM::mu [private] |
const double* GBM::sigma [private] |
RandomNumber** GBM::Z [private] |
double** GBM::Zptr [private] |
double* GBM::sig_squared [private] |