1Stochastic processes(3)            QuantLib            Stochastic processes(3)
2
3
4

NAME

6       Stochastic processes -
7

Detailed Description

9       The classes QuantLib::StochasticProcess and
10       QuantLib::StochasticProcess1D provide the interface for a generic
11       stochastic process. A number of specific processes is contained in the
12       ql/Processes directory.
13
14   Classes
15       class GeneralizedBlackScholesProcess
16           Generalized Black-Scholes stochastic process.
17       class BlackScholesProcess
18           Black-Scholes (1973) stochastic process.
19       class BlackScholesMertonProcess
20           Merton (1973) extension to the Black-Scholes stochastic process.
21       class BlackProcess
22           Black (1976) stochastic process.
23       class GarmanKohlagenProcess
24           Garman-Kohlhagen (1983) stochastic process.
25       class EulerDiscretization
26           Euler discretization for stochastic processes.
27       class ForwardMeasureProcess
28           forward-measure stochastic process
29       class ForwardMeasureProcess1D
30           forward-measure 1-D stochastic process
31       class G2Process
32           G2 stochastic process
33       class G2ForwardProcess
34           Forward G2 stochastic process
35       class GeometricBrownianMotionProcess
36           Geometric brownian-motion process.
37       class HestonProcess
38           Square-root stochastic-volatility Heston process.
39       class HullWhiteProcess
40           Hull-White stochastic process.
41       class HullWhiteForwardProcess
42           Forward Hull-White stochastic process
43       class LiborForwardModelProcess
44           libor-forward-model process
45       class Merton76Process
46           Merton-76 jump-diffusion process.
47       class OrnsteinUhlenbeckProcess
48           Ornstein-Uhlenbeck process class.
49       class SquareRootProcess
50           Square-root process class.
51       class StochasticProcessArray
52           Array of correlated 1-D stochastic processes
53
54
55
56Version 0.8.1                     29 Oct 2007          Stochastic processes(3)
Impressum