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vasicek.hpp
Langue: en
Version: 373838 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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