QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes
Stochastic processes

Classes

class  ExtendedBlackScholesMertonProcess
 experimental Black-Scholes-Merton stochastic process More...
 
class  ExtendedOrnsteinUhlenbeckProcess
 Extended Ornstein-Uhlenbeck process class. More...
 
class  ExtOUWithJumpsProcess
 
class  GemanRoncoroniProcess
 Geman-Roncoroni process class. More...
 
class  GeneralizedOrnsteinUhlenbeckProcess
 Piecewise linear Ornstein-Uhlenbeck process class. More...
 
class  VarianceGammaProcess
 Variance gamma process. More...
 
class  LiborForwardModelProcess
 libor-forward-model process More...
 
class  BatesProcess
 Square-root stochastic-volatility Bates process. More...
 
class  GeneralizedBlackScholesProcess
 Generalized Black-Scholes stochastic process. More...
 
class  BlackScholesProcess
 Black-Scholes (1973) stochastic process. More...
 
class  BlackScholesMertonProcess
 Merton (1973) extension to the Black-Scholes stochastic process. More...
 
class  BlackProcess
 Black (1976) stochastic process. More...
 
class  GarmanKohlagenProcess
 Garman-Kohlhagen (1983) stochastic process. More...
 
class  CoxIngersollRossProcess
 CoxIngersollRoss process class. More...
 
class  EndEulerDiscretization
 Euler end-point discretization for stochastic processes. More...
 
class  EulerDiscretization
 Euler discretization for stochastic processes. More...
 
class  ForwardMeasureProcess
 forward-measure stochastic process More...
 
class  ForwardMeasureProcess1D
 forward-measure 1-D stochastic process More...
 
class  G2Process
 G2 stochastic process More...
 
class  G2ForwardProcess
 Forward G2 stochastic process More...
 
class  GeometricBrownianMotionProcess
 Geometric brownian-motion process. More...
 
class  GJRGARCHProcess
 Stochastic-volatility GJR-GARCH(1,1) process. More...
 
class  GsrProcess
 GSR stochastic process. More...
 
class  HestonProcess
 Square-root stochastic-volatility Heston process. More...
 
class  HullWhiteProcess
 Hull-White stochastic process. More...
 
class  HullWhiteForwardProcess
 Forward Hull-White stochastic process More...
 
class  HybridHestonHullWhiteProcess
 Hybrid Heston Hull-White stochastic process. More...
 
class  Merton76Process
 Merton-76 jump-diffusion process. More...
 
class  MfStateProcess
 Markov functional state process class. More...
 
class  OrnsteinUhlenbeckProcess
 Ornstein-Uhlenbeck process class. More...
 
class  SquareRootProcess
 Square-root process class. More...
 
class  StochasticProcessArray
 Array of correlated 1-D stochastic processes More...
 

Detailed Description

The classes QuantLib::StochasticProcess and QuantLib::StochasticProcess1D provide the interface for a generic stochastic process. A number of specific processes is contained in the ql/processes directory.