Stochastic processes
Detailed Description
The classesQuantLib::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... |