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.