32 ext::shared_ptr<YieldTermStructure> rTS,
35 : process_(
std::move(process)),
rTS_(
std::move(rTS)), solverDesc_(
std::move(solverDesc)),
36 schemeDesc_(schemeDesc) {
42 ext::shared_ptr<FdmLinearOpComposite>op(
46 solver_ = ext::make_shared<Fdm2DimSolver>(
ext::shared_ptr< Fdm2DimSolver > solver_
void performCalculations() const override
const FdmSolverDesc solverDesc_
Real valueAt(Real x, Real y) const
const ext::shared_ptr< YieldTermStructure > rTS_
FdmExtOUJumpSolver(Handle< ExtOUWithJumpsProcess > process, ext::shared_ptr< YieldTermStructure > rTS, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
const Handle< ExtOUWithJumpsProcess > process_
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
virtual void calculate() const
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
const ext::shared_ptr< YieldTermStructure > rTS_
Ornstein Uhlenbeck process plus jumps (Kluge Model)
const FdmBoundaryConditionSet bcSet
const ext::shared_ptr< FdmMesher > mesher