COM Schwartz model one-factor state process. More...
#include <qle/processes/commodityschwartzstateprocess.hpp>
Classes | |
class | ExactDiscretization |
Public Member Functions | |
CommoditySchwartzStateProcess (const boost::shared_ptr< CommoditySchwartzParametrization > ¶metrization, const CommoditySchwartzModel::Discretization discretization) | |
StochasticProcess interface | |
Real | x0 () const override |
Real | drift (Time t, Real x) const override |
Real | diffusion (Time t, Real x) const override |
COM Schwartz model one-factor state process.