QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
onefactormodels Directory Reference

Files

file  blackkarasinski.hpp
 Black-Karasinski model.
 
file  coxingersollross.hpp
 Cox-Ingersoll-Ross model.
 
file  extendedcoxingersollross.hpp
 Extended Cox-Ingersoll-Ross model.
 
file  hullwhite.hpp
 Hull & White (HW) model.
 
file  vasicek.hpp
 Vasicek model class.