QuantLib: a free/open-source library for quantitative finance
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exponentialjump1dmesher.hpp
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
25#ifndef quantlib_exponential_jump_1d_mesher_hpp
26#define quantlib_exponential_jump_1d_mesher_hpp
27
28#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
29#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
30
31namespace QuantLib {
32
50 public:
51 ExponentialJump1dMesher(Size steps, Real beta, Real jumpIntensity,
52 Real eta, Real eps = 1e-3);
53
54 // approximation. see Hambly et.al.
55 Real jumpSizeDensity(Real x) const; // t->\inf
56 Real jumpSizeDensity(Real x, Time t) const;
57 Real jumpSizeDistribution(Real x) const; // t->\inf
59
60 private:
62 };
63}
64
65#endif
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35