QuantLib: Stochastic processes

A free/open-source library for quantitative finance Reference manual - version 1.12

Classes
Stochastic processes

## Classes
class | ExtendedBlackScholesMertonProcess
| experimental Black-Scholes-Merton stochastic process More...
class | ExtendedOrnsteinUhlenbeckProcess
| Extended Ornstein-Uhlenbeck process class. More...
class | ExtOUWithJumpsProcess
class | GemanRoncoroniProcess
| Geman-Roncoroni process class. More...
class | GeneralizedOrnsteinUhlenbeckProcess
| Piecewise linear Ornstein-Uhlenbeck process class. More...
class | VarianceGammaProcess
| Variance gamma process. More...
class | LiborForwardModelProcess
| libor-forward-model process More...
class | BatesProcess
| Square-root stochastic-volatility Bates process. More...
class | GeneralizedBlackScholesProcess
| Generalized Black-Scholes stochastic process. More...
class | BlackScholesProcess
| Black-Scholes (1973) stochastic process. More...
class | BlackScholesMertonProcess
| Merton (1973) extension to the Black-Scholes stochastic process. More...
class | BlackProcess
| Black (1976) stochastic process. More...
class | GarmanKohlagenProcess
| Garman-Kohlhagen (1983) stochastic process. More...
class | EndEulerDiscretization
| Euler end-point discretization for stochastic processes. More...
class | EulerDiscretization
| Euler discretization for stochastic processes. More...
class | ForwardMeasureProcess
| forward-measure stochastic process More...
class | ForwardMeasureProcess1D
| forward-measure 1-D stochastic process More...
class | G2Process
| G2 stochastic process More...
class | G2ForwardProcess
| Forward G2 stochastic process More...
class | GeometricBrownianMotionProcess
| Geometric brownian-motion process. More...
class | GJRGARCHProcess
| Stochastic-volatility GJR-GARCH(1,1) process. More...
class | GsrProcess
| GSR stochastic process. More...
class | HestonProcess
| Square-root stochastic-volatility Heston process. More...
class | HullWhiteProcess
| Hull-White stochastic process. More...
class | HullWhiteForwardProcess
| Forward Hull-White stochastic process More...
class | HybridHestonHullWhiteProcess
| Hybrid Heston Hull-White stochastic process. More...
class | Merton76Process
| Merton-76 jump-diffusion process. More...
class | MfStateProcess
| Markov functional state process class. More...
class | OrnsteinUhlenbeckProcess
| Ornstein-Uhlenbeck process class. More...
class | SquareRootProcess
| Square-root process class. More...
class | StochasticProcessArray
| Array of correlated 1-D stochastic processes More...

## Detailed Description

The classes `QuantLib::StochasticProcess` and `QuantLib::StochasticProcess1D` provide the interface for a generic stochastic process. A number of specific processes is contained in the `ql/Processes` directory.