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.