QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
squarerootclvmodel.hpp File Reference

CLV model with a square root kernel process. More...

#include <ql/time/date.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/math/interpolations/lagrangeinterpolation.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/math/gaussiannoncentralchisquaredpolynomial.hpp>
#include <ql/functional.hpp>
#include <map>

Go to the source code of this file.

Classes

class  SquareRootCLVModel
 
class  SquareRootCLVModel::MappingFunction
 

Namespaces

namespace  QuantLib
 

Detailed Description

CLV model with a square root kernel process.

Definition in file squarerootclvmodel.hpp.