Ornstein-Uhlenbeck class

[javit]

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

[Luigi Ballabio]

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



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