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Sourcecode: quantlib version File versions

blackkarasinski.hpp File Reference


Detailed Description

Black-Karasinski model.

Definition in file blackkarasinski.hpp.

#include <ql/ShortRateModels/onefactormodel.hpp>
#include <ql/Processes/ornsteinuhlenbeckprocess.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::BlackKarasinski
 Standard Black-Karasinski model class. More...
class  QuantLib::BlackKarasinski::Dynamics
 Short-rate dynamics in the Black-Karasinski model. More...


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