processes Directory Reference

## Files

file | batesprocess.hpp
| Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.
file | blackscholesprocess.hpp
| Black-Scholes processes.
file | endeulerdiscretization.hpp
| Euler end-point discretization for stochastic processes.
file | eulerdiscretization.hpp
| Euler discretization for stochastic processes.
file | forwardmeasureprocess.hpp
| forward-measure stochastic processes
file | g2process.hpp
| G2 stochastic processes.
file | geometricbrownianprocess.hpp
| Geometric Brownian-motion process.
file | gjrgarchprocess.hpp
| GJR-GARCH(1,1) stochastic process.
file | gsrprocess.hpp
| GSR model process with piecewise volatilities and mean reversions, the dynamic is expressed in some T-forward measure. If a single value for the mean reversion is provided, it is assumed constant. Results are cached for performance reasons, so if parameters change you need to call flushCache() to avoid inconsistent results. For a derivation of the formulas, see http://ssrn.com/abstract=2246013.
file | gsrprocesscore.hpp
| Core computations for the gsr process in risk neutral and T-forward measure.
file | hestonprocess.hpp
| Heston stochastic process.
file | hullwhiteprocess.hpp
| Hull-White stochastic processes.
file | hybridhestonhullwhiteprocess.hpp
| hybrid equity (heston model) with stochastic interest rates (hull white model)
file | jointstochasticprocess.hpp
| multi model process for hybrid products
file | merton76process.hpp
| Merton-76 process.
file | mfstateprocess.hpp
| State process for markov functional model.
file | ornsteinuhlenbeckprocess.hpp
| Ornstein-Uhlenbeck process.
file | squarerootprocess.hpp
| square-root process
file | stochasticprocessarray.hpp
| Array of correlated 1-D stochastic processes.