Ornstein-Uhlenbeck process with piecewise linear coefficients. More...
#include <ql/stochasticprocess.hpp>
#include <boost/function.hpp>
Classes | |
class | GeneralizedOrnsteinUhlenbeckProcess |
Piecewise linear Ornstein-Uhlenbeck process class. More... |
Ornstein-Uhlenbeck process with piecewise linear coefficients.