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. You may provide a single value for the mean reversion, then it is assumed to be constant. For many grid points (like 20 and above) evaluation may get slow. A caching is therefore provided. By that the results become inconsistent as soon as the parameters change. In that case flushCache() must be called. To ensure correct calibration this is done in the generateArguments() of the GSR model.

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.