QuantLib: C:/dev/QuantLib/ql/experimental/processes/extouwithjumpsprocess.hpp File Reference

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QuantLib: a free/open-source library for quantitative finance

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Ornstein Uhlenbeck process plus exp jumps (Kluge Model) More...

#include <ql/stochasticprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

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Classes
class	ExtOUWithJumpsProcess

Namespaces
namespace	QuantLib

Detailed Description

Ornstein Uhlenbeck process plus exp jumps (Kluge Model)

Definition in file extouwithjumpsprocess.hpp.