Black-Karasinski model. More...
#include <ql/models/shortrate/onefactormodel.hpp>#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
Classes | |
| class | BlackKarasinski |
| Standard Black-Karasinski model class. More... | |
| class | BlackKarasinski::Dynamics |
| Short-rate dynamics in the Black-Karasinski model. More... | |
Black-Karasinski model.