QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Ornstein-Uhlenbeck process with piecewise linear coefficients. More...
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Classes | |
class | GeneralizedOrnsteinUhlenbeckProcess |
Piecewise linear Ornstein-Uhlenbeck process class. More... | |
Namespaces | |
namespace | QuantLib |
Ornstein-Uhlenbeck process with piecewise linear coefficients.
Definition in file generalizedornsteinuhlenbeckprocess.hpp.