QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Finite Differences extended OU engine for simple storage options. More...
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillastorageoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
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Classes | |
class | FdSimpleExtOUStorageEngine |
Namespaces | |
namespace | QuantLib |
Finite Differences extended OU engine for simple storage options.
Definition in file fdsimpleextoustorageengine.hpp.