QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | generalizedhullwhite.cpp [code] |
file | generalizedhullwhite.hpp [code] |
generalized Hull-White model | |
file | generalizedornsteinuhlenbeckprocess.cpp [code] |
file | generalizedornsteinuhlenbeckprocess.hpp [code] |
Ornstein-Uhlenbeck process with piecewise linear coefficients. | |