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

Ornstein Uhlenbeck process. More...

#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>

Go to the source code of this file.

Classes

class  FdmOrnsteinUhlenbeckOp
 

Namespaces

namespace  QuantLib
 

Detailed Description

Ornstein Uhlenbeck process.

Definition in file fdmornsteinuhlenbeckop.hpp.