1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2003 Ferdinando Ametrano
5  Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
6  Copyright (C) 2004, 2005 StatPro Italia srl
7 
8  This file is part of QuantLib, a free-software/open-source library
9  for financial quantitative analysts and developers - http://quantlib.org/
10 
11  QuantLib is free software: you can redistribute it and/or modify it
12  under the terms of the QuantLib license.  You should have received a
13  copy of the license along with this program; if not, please email
14  <quantlib-dev@lists.sf.net>. The license is also available online at
15  <http://quantlib.org/license.shtml>.
16 
17  This program is distributed in the hope that it will be useful, but WITHOUT
18  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19  FOR A PARTICULAR PURPOSE.  See the license for more details.
20 */
21 
22 /*! \file geometricbrownianprocess.hpp
23     \brief Geometric Brownian-motion process
24 */
25 
26 #ifndef quantlib_geometric_brownian_process_hpp
27 #define quantlib_geometric_brownian_process_hpp
28 
29 #include <ql/stochasticprocess.hpp>
30 
31 namespace QuantLib {
32 
33     //! Geometric brownian-motion process
34     /*! This class describes the stochastic process governed by
35         \f[
36             dS(t, S)= \mu S dt + \sigma S dW_t.
37         \f]
38 
39         \ingroup processes
40     */
41     class GeometricBrownianMotionProcess : public StochasticProcess1D {
42       public:
43         GeometricBrownianMotionProcess(double initialValue,
44                                        double mue,
45                                        double sigma);
46         Real x0() const;
47         Real drift(Time t, Real x) const;
48         Real diffusion(Time t, Real x) const;
49       protected:
50         double initialValue_;
51         double mue_;
52         double sigma_;
53     };
54 
55 }
56 
57 
58 #endif
59