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generalizedornsteinuhlenbeckprocess.hpp File Reference

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

#include <ql/stochasticprocess.hpp>
#include <boost/function.hpp>
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Classes

class  QuantLib::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.


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