30 : x0_(x0), speed_(
speed), level_(level), volatility_(vol) {
40 (1.0 - std::exp(-2.0*
speed_*dt));
OrnsteinUhlenbeckProcess(Real speed, Volatility vol, Real x0=0.0, Real level=0.0)
Real variance(Time t0, Real x0, Time dt) const override
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
Ornstein-Uhlenbeck process.