gsrprocess.hpp File Reference

GSR model process with piecewise volatilities and mean reversions, the dynamic is expressed in some T-forward measure. If a single value for the mean reversion is provided, it is assumed constant. Results are cached for performance reasons, so if parameters change you need to call flushCache() to avoid inconsistent results. For a derivation of the formulas, see http://ssrn.com/abstract=2246013. More...

#include <ql/processes/forwardmeasureprocess.hpp>
#include <ql/processes/gsrprocesscore.hpp>
#include <ql/time/daycounter.hpp>

Go to the source code of this file.

Classes
class	GsrProcess
	GSR stochastic process. More...

Namespaces
namespace	QuantLib

Detailed Description

GSR model process with piecewise volatilities and mean reversions, the dynamic is expressed in some T-forward measure. If a single value for the mean reversion is provided, it is assumed constant. Results are cached for performance reasons, so if parameters change you need to call flushCache() to avoid inconsistent results. For a derivation of the formulas, see http://ssrn.com/abstract=2246013.

Definition in file gsrprocess.hpp.