gsrprocesscore.hpp File Reference

Core computations for the gsr process in risk neutral and T-forward measure. More...

#include <ql/math/array.hpp>
#include <ql/math/comparison.hpp>
#include <map>

Go to the source code of this file.

Classes
class	GsrProcessCore

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Detailed Description

Core computations for the gsr process in risk neutral and T-forward measure.

Warning:

Results are cached for performance reasons, so if parameters change, you need to call flushCache() to avoid inconsistent results.

Definition in file gsrprocesscore.hpp.