vasicek.hpp

Langue: en

Autres versions - même langue

Version: 373838 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/shortrate/onefactormodels/vasicek.hpp -

Vasicek model class.

SYNOPSIS


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

Classes


class Vasicek
Vasicek model class
class Vasicek::Dynamics
Short-rate dynamics in the Vasicek model.

Detailed Description

Vasicek model class.

Author

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