QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Black-Karasinski model. More...
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | BlackKarasinski |
Standard Black-Karasinski model class. More... | |
class | BlackKarasinski::Dynamics |
Short-rate dynamics in the Black-Karasinski model. More... | |
Namespaces | |
namespace | QuantLib |
Black-Karasinski model.
Definition in file blackkarasinski.hpp.