QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Namespaces
gsrprocesscore.hpp File Reference

Core computations for the gsr process in risk neutral and T-forward measure. More...

#include <ql/math/array.hpp>
#include <ql/math/comparison.hpp>
#include <map>

Go to the source code of this file.

Classes

class  GsrProcessCore
 

Namespaces

namespace  QuantLib
 
namespace  QuantLib::detail
 

Detailed Description

Core computations for the gsr process in risk neutral and T-forward measure.

Warning:
Results are cached for performance reasons, so if parameters change, you need to call flushCache() to avoid inconsistent results.

Definition in file gsrprocesscore.hpp.