Stochastic processes


Detailed Description

The classes QuantLib::StochasticProcess and QuantLib::StochasticProcess1D provide the interface for a generic stochastic process. A number of specific processes is contained in the ql/Processes directory.


Classes

class  GeneralizedBlackScholesProcess
 Generalized Black-Scholes stochastic process. More...
class  BlackScholesProcess
 Black-Scholes (1973) stochastic process. More...
class  BlackScholesMertonProcess
 Merton (1973) extension to the Black-Scholes stochastic process. More...
class  BlackProcess
 Black (1976) stochastic process. More...
class  GarmanKohlagenProcess
 Garman-Kohlhagen (1983) stochastic process. More...
class  EulerDiscretization
 Euler discretization for stochastic processes. More...
class  ForwardMeasureProcess
 forward-measure stochastic process More...
class  ForwardMeasureProcess1D
 forward-measure 1-D stochastic process More...
class  G2Process
 G2 stochastic process More...
class  G2ForwardProcess
 Forward G2 stochastic process More...
class  GeometricBrownianMotionProcess
 Geometric brownian-motion process. More...
class  HestonProcess
 Square-root stochastic-volatility Heston process. More...
class  HullWhiteProcess
 Hull-White stochastic process. More...
class  HullWhiteForwardProcess
 Forward Hull-White stochastic process More...
class  LiborForwardModelProcess
 libor-forward-model process More...
class  Merton76Process
 Merton-76 jump-diffusion process. More...
class  OrnsteinUhlenbeckProcess
 Ornstein-Uhlenbeck process class. More...
class  SquareRootProcess
 Square-root process class. More...
class  StochasticProcessArray
 Array of correlated 1-D stochastic processes More...