33 lines
906 B
C++
33 lines
906 B
C++
/* LogNormalProcess.hpp */
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#pragma once
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#include "BrownianMotion.hpp"
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#include "ExpProcess.hpp"
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namespace xo {
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namespace process {
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/* log-normal process -- i.e. logs follow brownian motion
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*/
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class LogNormalProcess {
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public:
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using utc_nanos = xo::time::utc_nanos;
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public:
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/* log-normal process starting at (t0, x0) */
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template<typename RngEngine, typename Seed>
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static rp<ExpProcess> make(utc_nanos t0, double x0,
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double sdev, Seed const & seed) {
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rp<BrownianMotion<RngEngine>> bm
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= BrownianMotion<RngEngine>::make(t0, sdev, seed);
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return ExpProcess::make(x0 /*scale*/, bm);
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} /*make*/
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}; /*LogNormalProcess*/
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} /*namespace process*/
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} /*namespace xo*/
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/* end LogNormalProcess.hpp */
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