ql/stochasticprocess.hpp File Reference


Detailed Description

stochastic processes

#include <ql/termstructure.hpp>
#include <ql/voltermstructure.hpp>

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Namespaces

namespace  QuantLib

Classes

class  StochasticProcess
 Stochastic process class. More...
class  StochasticProcess::discretization
 discretization of a stochastic process over a given time interval More...
class  EulerDiscretization
 Euler discretization for stochastic processes. More...
class  GeometricBrownianMotionProcess
 Geometric brownian motion process. More...
class  BlackScholesProcess
 Black-Scholes stochastic process. More...
class  Merton76Process
 Merton-76 jump-diffusion process. More...
class  OrnsteinUhlenbeckProcess
 Ornstein-Uhlenbeck process class. More...
class  SquareRootProcess
 Square-root process class. More...

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