gsr.hpp File Reference

GSR 1 factor model. More...

#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
#include <ql/processes/gsrprocess.hpp>

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Classes
class	Gsr
	One factor gsr model, formulation is in forward measure. More...
struct	Gsr::VolatilityObserver
struct	Gsr::ReversionObserver

Namespaces
namespace	QuantLib

Detailed Description

GSR 1 factor model.

Definition in file gsr.hpp.