Black-Karasinski model. More...
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
Classes | |
class | BlackKarasinski |
Standard Black-Karasinski model class. More... | |
class | BlackKarasinski::Dynamics |
Short-rate dynamics in the Black-Karasinski model. More... |
Black-Karasinski model.