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