QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
blackkarasinski.hpp File Reference

Black-Karasinski model. More...

#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <utility>

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Classes

class  BlackKarasinski
 Standard Black-Karasinski model class. More...
 
class  BlackKarasinski::Dynamics
 Short-rate dynamics in the Black-Karasinski model. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Black-Karasinski model.

Definition in file blackkarasinski.hpp.