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

Ornstein-Uhlenbeck process with piecewise linear coefficients. More...

#include <ql/stochasticprocess.hpp>
#include <ql/functional.hpp>

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Classes

class  GeneralizedOrnsteinUhlenbeckProcess
 Piecewise linear Ornstein-Uhlenbeck process class. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Ornstein-Uhlenbeck process with piecewise linear coefficients.

Definition in file generalizedornsteinuhlenbeckprocess.hpp.