Boost logo

Boost :

From: Deane Yang (deane_yang_at_[hidden])
Date: 2007-02-09 17:33:51


The notion of "volatility" of a stochastic process is used throughout
finance for measuring the value of an option and has units equal to time
raised to the -1/2 power. It has an analogue in physics that might be
called a heat conduction coefficient or diffusion coefficient (apologies
to physicists for making up my own terminology), because it corresponds
to the coefficient c in the heat equation

u_t = c^2 u_xx

I currently use my own homegrown units template library and implemented
+/-(1/2) powers.

Deane

Andreas Harnack wrote:
> Martin Bonner wrote:
>
>> How would you deal with fractional powers of units? (The subject came
>> up in the pqs/quan review, and it was clear they were significant to
>> some people).
>>
>
> Yes, I've seen such comments too, but I couldn't find a posting
> explaining in which context it's needed. Do you have a reference by any
> chance?
>
> Andreas
>
>
>
>
> _______________________________________________
> Unsubscribe & other changes: http://lists.boost.org/mailman/listinfo.cgi/boost
>


Boost list run by bdawes at acm.org, gregod at cs.rpi.edu, cpdaniel at pacbell.net, john at johnmaddock.co.uk