QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
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 |
CLV model with a square root kernel process.
Definition in file squarerootclvmodel.hpp.