ql/models/shortrate/onefactormodels/blackkarasinski.hpp File Reference


Detailed Description

Black-Karasinski model.

#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>

Include dependency graph for blackkarasinski.hpp:


Namespaces

namespace  QuantLib

Classes

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