CFL
Classes | Namespaces | Functions
Brownian.hpp File Reference

Basic financial model where the state process is given by a one-dimensional Brownian motion. More...

#include "Slice.hpp"
#include "GaussRollback.hpp"
#include "Interp.hpp"
#include "Ind.hpp"
#include "cfl/Inline/iBrownian.hpp"
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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...
 

Namespaces

 cfl
 Main namespace for cfl library.
 
 cfl::NBrownian
 Implementations of class Brownian.
 

Functions

Brownian cfl::NBrownian::model (double dQuality, const GaussRollback &rRollback=NGaussRollback::improved(), const Ind &rInd=NInd::smart(), const Interp &rInterp=NInterp::spline())
 

Detailed Description

Author
Dmitry Kramkov
Date
2000-2006

Contains classes and functions related with the basic financial model where the state process is given by a one-dimensional Brownian motion.