CFL
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Basic model with Brownian motion.
Collaboration diagram for Basic model with Brownian motion.:

Namespaces

 cfl::NBrownian
 Implementations of class Brownian.
 

Classes

class  cfl::Brownian
 Concrete class for the basic financial model with Brownian motion. More...
 
class  cfl::IBrownian
 Interface class for the basic financial model with Brownian motion. More...
 

Detailed Description

This module is dealing with implementation of the basic financial model where the state process is given by a one-dimensional Brownian motion. The interest rates are assumed to be equal to zero.