Struct GeometricBrownianMotion

Defined in File parallelism_usage_demo.cpp

Struct Documentation

struct GeometricBrownianMotion

Public Functions

inline void operator()(double t, const std::vector<double> &state, std::vector<double> &derivative)

inline void diffusion(double t, const std::vector<double> &state, std::vector<double> &noise_coeff)

Public Members

double mu = 0.05

double sigma = 0.2