processes Directory Reference

Files
file	batesprocess.cpp [code]
file	batesprocess.hpp [code]
	Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.
file	blackscholesprocess.cpp [code]
file	blackscholesprocess.hpp [code]
	Black-Scholes processes.
file	coxingersollrossprocess.cpp [code]
file	coxingersollrossprocess.hpp [code]
	CoxIngersollRoss process.
file	endeulerdiscretization.cpp [code]
file	endeulerdiscretization.hpp [code]
	Euler end-point discretization for stochastic processes.
file	eulerdiscretization.cpp [code]
file	eulerdiscretization.hpp [code]
	Euler discretization for stochastic processes.
file	forwardmeasureprocess.cpp [code]
file	forwardmeasureprocess.hpp [code]
	forward-measure stochastic processes
file	g2process.cpp [code]
file	g2process.hpp [code]
	G2 stochastic processes.
file	geometricbrownianprocess.cpp [code]
file	geometricbrownianprocess.hpp [code]
	Geometric Brownian-motion process.
file	gjrgarchprocess.cpp [code]
file	gjrgarchprocess.hpp [code]
	GJR-GARCH(1,1) stochastic process.
file	gsrprocess.cpp [code]
file	gsrprocess.hpp [code]
	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.
file	gsrprocesscore.cpp [code]
file	gsrprocesscore.hpp [code]
	Core computations for the gsr process in risk neutral and T-forward measure.
file	hestonprocess.cpp [code]
file	hestonprocess.hpp [code]
	Heston stochastic process.
file	hestonslvprocess.cpp [code]
	Heston stochastic local volatility process.
file	hestonslvprocess.hpp [code]
	Heston stochastic local volatility process.
file	hullwhiteprocess.cpp [code]
file	hullwhiteprocess.hpp [code]
	Hull-White stochastic processes.
file	hybridhestonhullwhiteprocess.cpp [code]
file	hybridhestonhullwhiteprocess.hpp [code]
	hybrid equity (heston model) with stochastic interest rates (hull white model)
file	jointstochasticprocess.cpp [code]
	multi model process for hybrid products
file	jointstochasticprocess.hpp [code]
	multi model process for hybrid products
file	merton76process.cpp [code]
file	merton76process.hpp [code]
	Merton-76 process.
file	mfstateprocess.cpp [code]
file	mfstateprocess.hpp [code]
	State process for markov functional model.
file	ornsteinuhlenbeckprocess.cpp [code]
file	ornsteinuhlenbeckprocess.hpp [code]
	Ornstein-Uhlenbeck process.
file	squarerootprocess.cpp [code]
file	squarerootprocess.hpp [code]
	square-root process
file	stochasticprocessarray.cpp [code]
file	stochasticprocessarray.hpp [code]
	Array of correlated 1-D stochastic processes.