/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2003 Ferdinando Ametrano

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2004, 2005 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library

 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it

 under the terms of the QuantLib license.  You should have received a

 copy of the license along with this program; if not, please email

 <quantlib-dev@lists.sf.net>. The license is also available online at

 <https://www.quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT

 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS

 FOR A PARTICULAR PURPOSE.  See the license for more details.

*/

#include <ql/processes/geometricbrownianprocess.hpp>

#include <ql/processes/eulerdiscretization.hpp>

namespace QuantLib {

    GeometricBrownianMotionProcess::GeometricBrownianMotionProcess(

                                                          Real initialValue,

                                                          Real mue,

                                                          Real sigma)

    : StochasticProcess1D(ext::shared_ptr<discretization>(

                                                    new EulerDiscretization)),

      initialValue_(initialValue), mue_(mue), sigma_(sigma) {}

    Real GeometricBrownianMotionProcess::x0() const {

        return initialValue_;

    }

    Real GeometricBrownianMotionProcess::drift(Time, Real x) const {

        return mue_ * x;

    }

    Real GeometricBrownianMotionProcess::diffusion(Time, Real x) const {

        return sigma_ * x;

    }

}