fdextoujumpvanillaengine.hpp File Reference

Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options. More...

#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>

Go to the source code of this file.

Classes
class	FdExtOUJumpVanillaEngine

Namespaces
namespace	QuantLib

Detailed Description

Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options.

Definition in file fdextoujumpvanillaengine.hpp.