SDE Class Hierarchy

The Financial Toolbox™ SDE class structure represents a generalization and specialization hierarchy. The top-level class provides the most general model interface and offers the default Monte Carlo simulation and interpolation methods. In turn, derived classes offer restricted interfaces that simplify model creation and manipulation while providing detail regarding model structure.

The following table lists the SDE classes. The introductory examples in Available SDE Models show how to use these classes to create objects associated with univariate models. Although the Financial Toolbox SDE engine supports multivariate models, univariate models facilitate object creation and display, and allow you to easily associate inputs with object parameters.

SDE Classes

Class Name	For More Information, See ...
`SDE`	`sde` and Base SDE Models
`Drift`, `Diffusion`	`drift`, `diffusion`, and Overview
`SDEDDO`	`sdeddo` and Drift and Diffusion Models
`SDELD`	`sdeld` and Linear Drift Models
`CEV`	`cev` and Creating Constant Elasticity of Variance (CEV) Models
`BM`	`bm` and Creating Brownian Motion (BM) Models
`SDEMRD`	`sdemrd` and Creating Stochastic Differential Equations from Mean-Reverting Drift (SDEMRD) Models
`GBM`	`gbm` and Creating Geometric Brownian Motion (GBM) Models
`HWV`	`hwv` and Creating Hull-White/Vasicek (HWV) Gaussian Diffusion Models
`CIR`	`cir` and Creating Cox-Ingersoll-Ross (CIR) Square Root Diffusion Models
`Heston`	`heston` and Creating Heston Stochastic Volatility Models
`Merton`	`merton`
`Bates`	`bates`
`rvm`	`rvm`
`roughbergomi`	`roughbergomi`
`roughheston`	`roughheston`

The following figure illustrates the inheritance relationships among SDE classes.

SDE object hierarchy

SDE Class Hierarchy

See Also

Related Examples

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