GBM Class Reference

#include <stochastic_process.h>

List of all members.

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


Constructor & Destructor Documentation

GBM::GBM ( int  num_samples,
int  dim,
double *  Xo,
double *  mu,
double *  cov 
)

GBM::~GBM (  ) 


Member Function Documentation

double GBM::outcome ( int  sample_indx,
int  dim_indx,
double  Time 
) const


Member Data Documentation

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]


The documentation for this class was generated from the following files:

Documentation generated by  doxygen
Source code hosted by