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
namespace	QuantLib

Detailed Description

Ornstein-Uhlenbeck process with piecewise linear coefficients.