quantlib-dev

[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... 
-- 
View this message in context: http://www.nabble.com/Ornstein-Uhlenbeck-class-tp24540746p24540746.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Ornstein-Uhlenbeck class

[Luigi B. <lui...@gm...>]

On Fri, 2009-07-17 at 13:00 -0700, javit wrote:
> Is there a quantlib class for the Ornstein-Uhlenbeck process with
> non-constant coeficients?

No, there isn't.

Luigi


-- 

It is always the best policy to tell the truth, unless, of course, 
you are an exceptionally good liar. 
-- Jerome K. Jerome