fdmextendedornsteinuhlenbeckop.hpp File Reference

Ornstein Uhlenbeck process plus jumps (Kluge Model) More...

#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>

Go to the source code of this file.

Classes
class	FdmExtendedOrnsteinUhlenbeckOp

Namespaces
namespace	QuantLib

Detailed Description

Ornstein Uhlenbeck process plus jumps (Kluge Model)

Definition in file fdmextendedornsteinuhlenbeckop.hpp.