QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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extendedornsteinuhlenbeckprocess.cpp File Reference
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <utility>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ b

ext::function<Real (Real)> b
private

◆ speed

Real speed
private

Definition at line 31 of file extendedornsteinuhlenbeckprocess.cpp.