QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
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... | |
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.