Files

Docs
Examples
config
m4
man
ql
- cashflows
- currencies
- experimental
- indexes
- instruments
- legacy
- math
- methods
- models
- patterns
- pricingengines
- processes
  - Makefile.am
  - all.hpp
  - batesprocess.cpp
  - batesprocess.hpp
  - blackscholesprocess.cpp
  - blackscholesprocess.hpp
  - endeulerdiscretization.cpp
  - endeulerdiscretization.hpp
  - eulerdiscretization.cpp
  - eulerdiscretization.hpp
  - forwardmeasureprocess.cpp
  - forwardmeasureprocess.hpp
  - g2process.cpp
  - g2process.hpp
  - geometricbrownianprocess.cpp
  - geometricbrownianprocess.hpp
  - gjrgarchprocess.cpp
  - gjrgarchprocess.hpp
  - gsrprocess.cpp
  - gsrprocess.hpp
  - gsrprocesscore.cpp
  - gsrprocesscore.hpp
  - hestonprocess.cpp
  - hestonprocess.hpp
  - hullwhiteprocess.cpp
  - hullwhiteprocess.hpp
  - hybridhestonhullwhiteprocess.cpp
  - hybridhestonhullwhiteprocess.hpp
  - jointstochasticprocess.cpp
  - jointstochasticprocess.hpp
  - merton76process.cpp
  - merton76process.hpp
  - mfstateprocess.cpp
  - mfstateprocess.hpp
  - ornsteinuhlenbeckprocess.cpp
  - ornsteinuhlenbeckprocess.hpp
  - squarerootprocess.cpp
  - squarerootprocess.hpp
  - stochasticprocessarray.cpp
  - stochasticprocessarray.hpp
- quotes
- termstructures
- time
- utilities
- CMakeLists.txt
- Makefile.am
- auto_link.hpp
- cashflow.cpp
- cashflow.hpp
- compounding.hpp
- config.ansi.hpp
- config.mingw.hpp
- config.msvc.hpp
- config.sun.hpp
- currency.cpp
- currency.hpp
- default.hpp
- discretizedasset.cpp
- discretizedasset.hpp
- errors.cpp
- errors.hpp
- event.cpp
- event.hpp
- exchangerate.cpp
- exchangerate.hpp
- exercise.cpp
- exercise.hpp
- grid.hpp
- handle.hpp
- index.cpp
- index.hpp
- instrument.hpp
- interestrate.cpp
- interestrate.hpp
- mathconstants.hpp
- money.cpp
- money.hpp
- numericalmethod.hpp
- option.hpp
- payoff.hpp
- position.cpp
- position.hpp
- prices.cpp
- prices.hpp
- pricingengine.hpp
- qldefines.hpp
- quantlib.hpp
- quote.hpp
- rebatedexercise.cpp
- rebatedexercise.hpp
- settings.cpp
- settings.hpp
- stochasticprocess.cpp
- stochasticprocess.hpp
- termstructure.cpp
- termstructure.hpp
- timegrid.cpp
- timegrid.hpp
- timeseries.hpp
- types.hpp
- userconfig.hpp
- version.hpp
- volatilitymodel.hpp
test-suite
tools
.gitignore
Announce.txt
Authors.txt
Bugs.txt
CMakeLists.txt
ChangeLog.txt
Contributors.txt
LICENSE.TXT
Makefile.am
News.txt
QuantLib.dev
QuantLib.props
QuantLib.sln
QuantLib.spec.in
QuantLib.vcxproj
QuantLib.vcxproj.filters
QuantLib_vc9.sln
QuantLib_vc9.vcproj
README.md
Readme.txt
acinclude.m4
autogen.sh
configure.ac
quantlib-config.in
quantlib.el
quantlib.m4
quantlib.pc.in

processes

This branch is 74 commits ahead of, 6021 commits behind lballabio/QuantLib:master.

Name	Name	Last commit message	Last commit date
parent directory ..
Makefile.am	Makefile.am	separate gsr core computations from process class, streamline documen…	Jul 27, 2015
all.hpp	all.hpp	separate gsr core computations from process class, streamline documen…	Jul 27, 2015
batesprocess.cpp	batesprocess.cpp	replaced double with Real to keep header and source files in sync.	Jun 29, 2012
batesprocess.hpp	batesprocess.hpp	Doc fix	Mar 3, 2008
blackscholesprocess.cpp	blackscholesprocess.cpp	fix variance computation	Jul 29, 2015
blackscholesprocess.hpp	blackscholesprocess.hpp	compute standard deviation, variance and expectation in exact terms f…	Jul 29, 2015
endeulerdiscretization.cpp	endeulerdiscretization.cpp	Added Euler end-point discretization (thanks to Frank Hoevermann)	May 15, 2008
endeulerdiscretization.hpp	endeulerdiscretization.hpp	Added Euler end-point discretization (thanks to Frank Hoevermann)	May 15, 2008
eulerdiscretization.cpp	eulerdiscretization.cpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
eulerdiscretization.hpp	eulerdiscretization.hpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
forwardmeasureprocess.cpp	forwardmeasureprocess.cpp	added hybrid Heston Hull-White process	Jun 30, 2007
forwardmeasureprocess.hpp	forwardmeasureprocess.hpp	make method virtual	May 30, 2014
g2process.cpp	g2process.cpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
g2process.hpp	g2process.hpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
geometricbrownianprocess.cpp	geometricbrownianprocess.cpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
geometricbrownianprocess.hpp	geometricbrownianprocess.hpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
gjrgarchprocess.cpp	gjrgarchprocess.cpp	Fixes for Sun Solaris compilation (thanks to Andreas Spengler)	Feb 23, 2009
gjrgarchprocess.hpp	gjrgarchprocess.hpp	Spelled out method and variable name	Jun 3, 2008
gsrprocess.cpp	gsrprocess.cpp	remove adjusters for the time being	Jul 27, 2015
gsrprocess.hpp	gsrprocess.hpp	remove adjusters for the time being	Jul 27, 2015
gsrprocesscore.cpp	gsrprocesscore.cpp	Fix indentations.	Feb 22, 2016
gsrprocesscore.hpp	gsrprocesscore.hpp	Fix indentations.	Feb 22, 2016
hestonprocess.cpp	hestonprocess.cpp	Avoid uses of Boost.Lambda.	Apr 26, 2016
hestonprocess.hpp	hestonprocess.hpp	merged Klaus' changes and new test cases into slv branch	Nov 25, 2014
hullwhiteprocess.cpp	hullwhiteprocess.cpp	Fixes for Sun Solaris compilation (thanks to Andreas Spengler)	Feb 23, 2009
hullwhiteprocess.hpp	hullwhiteprocess.hpp	sync interface of HullWhiteProcess and HullWhiteForwardProcess	Sep 10, 2008
hybridhestonhullwhiteprocess.cpp	hybridhestonhullwhiteprocess.cpp	merged up to r16999 of branches/R01000x-branch into trunk, respecting…	Jan 13, 2010
hybridhestonhullwhiteprocess.hpp	hybridhestonhullwhiteprocess.hpp	improve discretization and control variate of hybrid Heston-Hull-Whit…	Nov 6, 2008
jointstochasticprocess.cpp	jointstochasticprocess.cpp	improved control variate for hybrid heston hull white model	Jan 4, 2008
jointstochasticprocess.hpp	jointstochasticprocess.hpp	improved control variate for hybrid heston hull white model	Jan 4, 2008
merton76process.cpp	merton76process.cpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
merton76process.hpp	merton76process.hpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
mfstateprocess.cpp	mfstateprocess.cpp	move some classes from experimental to core	Apr 25, 2015
mfstateprocess.hpp	mfstateprocess.hpp	move some classes from experimental to core	Apr 25, 2015
ornsteinuhlenbeckprocess.cpp	ornsteinuhlenbeckprocess.cpp	improved formatting	Sep 16, 2011
ornsteinuhlenbeckprocess.hpp	ornsteinuhlenbeckprocess.hpp	improved formatting	Sep 16, 2011
squarerootprocess.cpp	squarerootprocess.cpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
squarerootprocess.hpp	squarerootprocess.hpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
stochasticprocessarray.cpp	stochasticprocessarray.cpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007
stochasticprocessarray.hpp	stochasticprocessarray.hpp	Merged R000800-branch into the trunk up to revision 11030	May 30, 2007

Provide feedback

Saved searches

Use saved searches to filter your results more quickly

Files

processes

processes

Files

processes

Directory actions

More options

Directory actions

More options

Latest commit

History

processes

Folders and files

parent directory