generalizedornsteinuhlenbeckprocess.hpp File Reference

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

#include <ql/stochasticprocess.hpp>
#include <boost/function.hpp>
Include dependency graph for generalizedornsteinuhlenbeckprocess.hpp:

Classes

class  GeneralizedOrnsteinUhlenbeckProcess
 Piecewise linear Ornstein-Uhlenbeck process class. More...
 

Namespaces

 QuantLib
 

Detailed Description

Ornstein-Uhlenbeck process with piecewise linear coefficients.