[Quantlib-dev] Ornstein-Uhlenbeck class

[javit <ca...@vi...>]

Is there a quantlib class for the Ornstein-Uhlenbeck process with
non-constant coeficients?

    //! Ornstein-Uhlenbeck process class
    /*! This class describes the Ornstein-Uhlenbeck process governed by
        \f[
            dx = a (r - x_t) dt + \sigma dW_t.
        \f]

        \ingroup processes

Thank you,
Javit

-----
Cavit (Javit) Hafizoglu
mailto:jav...@su... mailto:jav...@su... 
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