QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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processes Directory Reference

Files

file  extendedblackscholesprocess.cpp [code]
 
file  extendedblackscholesprocess.hpp [code]
 experimental Black-Scholes-Merton process
 
file  extendedornsteinuhlenbeckprocess.cpp [code]
 
file  extendedornsteinuhlenbeckprocess.hpp [code]
 extended Ornstein-Uhlenbeck process
 
file  extouwithjumpsprocess.cpp [code]
 
file  extouwithjumpsprocess.hpp [code]
 Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
 
file  gemanroncoroniprocess.cpp [code]
 Geman-Roncoroni process.
 
file  gemanroncoroniprocess.hpp [code]
 Geman-Roncoroni process.
 
file  klugeextouprocess.cpp [code]
 
file  klugeextouprocess.hpp [code]
 joint Kluge process an d Ornstein Uhlenbeck process
 
file  vegastressedblackscholesprocess.cpp [code]
 
file  vegastressedblackscholesprocess.hpp [code]
 Black-Scholes process which supports local vega stress tests.