processes man page

processes — Stochastic processes

Classes

class ExtendedBlackScholesMertonProcess
experimental Black-Scholes-Merton stochastic process
class ExtendedOrnsteinUhlenbeckProcess
Extended Ornstein-Uhlenbeck process class.
class ExtOUWithJumpsProcess

class GemanRoncoroniProcess
Geman-Roncoroni process class.
class GeneralizedOrnsteinUhlenbeckProcess
Piecewise linear Ornstein-Uhlenbeck process class.
class VarianceGammaProcess
Variance gamma process.
class LiborForwardModelProcess
libor-forward-model process
class BatesProcess
Square-root stochastic-volatility Bates process.
class GeneralizedBlackScholesProcess
Generalized Black-Scholes stochastic process.
class BlackScholesProcess
Black-Scholes (1973) stochastic process.
class BlackScholesMertonProcess
Merton (1973) extension to the Black-Scholes stochastic process.
class BlackProcess
Black (1976) stochastic process.
class GarmanKohlagenProcess
Garman-Kohlhagen (1983) stochastic process.
class EndEulerDiscretization
Euler end-point discretization for stochastic processes.
class EulerDiscretization
Euler discretization for stochastic processes.
class ForwardMeasureProcess
forward-measure stochastic process
class ForwardMeasureProcess1D
forward-measure 1-D stochastic process
class G2Process
G2 stochastic process
class G2ForwardProcess
Forward G2 stochastic process
class GeometricBrownianMotionProcess
Geometric brownian-motion process.
class GJRGARCHProcess
Stochastic-volatility GJR-GARCH(1,1) process.
class GsrProcess
GSR stochastic process.
class HestonProcess
Square-root stochastic-volatility Heston process.
class HullWhiteProcess
Hull-White stochastic process.
class HullWhiteForwardProcess
Forward Hull-White stochastic process
class HybridHestonHullWhiteProcess
Hybrid Heston Hull-White stochastic process.
class Merton76Process
Merton-76 jump-diffusion process.
class MfStateProcess
Markov functional state process class.
class OrnsteinUhlenbeckProcess
Ornstein-Uhlenbeck process class.
class SquareRootProcess
Square-root process class.
class StochasticProcessArray
Array of correlated 1-D stochastic processes

Detailed Description

The classes QuantLib::StochasticProcess and QuantLib::StochasticProcess1D provide the interface for a generic stochastic process. A number of specific processes is contained in the ql/Processes directory.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib