QuantLib 0.3.11
Getting started
Reference manual
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp File Reference
Detailed Description
Black-Karasinski model.
#include <ql/qldefines.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>
#include <ql/Processes/ornsteinuhlenbeckprocess.hpp>
Include dependency graph for blackkarasinski.hpp:
Namespaces | |
| namespace | QuantLib |
Classes | |
| class | BlackKarasinski |
| Standard Black-Karasinski model class. More... | |
| class | BlackKarasinski::Dynamics |
| Short-rate dynamics in the Black-Karasinski model. More... | |
