blackkarasinski (3) - Linux Manuals

blackkarasinski: Black-Karasinski model.

NAME

ql/models/shortrate/onefactormodels/blackkarasinski.hpp - Black-Karasinski model.

SYNOPSIS

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

Classes

class BlackKarasinski
Standard Black-Karasinski model class.
class Dynamics
Short-rate dynamics in the Black-Karasinski model.

Detailed Description

Black-Karasinski model.

Author

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