QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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CLV model with a square root kernel process. More...
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/squarerootprocess.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/experimental/models/squarerootclvmodel.hpp>
#include <ql/methods/finitedifferences/utilities/gbsmrndcalculator.hpp>
#include <boost/math/distributions/non_central_chi_squared.hpp>
#include <utility>
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namespace | QuantLib |
CLV model with a square root kernel process.
Definition in file squarerootclvmodel.cpp.