25#ifndef quantlib_fd_simple_ou_jump_swing_engine_hpp
26#define quantlib_fd_simple_ou_jump_swing_engine_hpp
28#include <ql/pricingengine.hpp>
29#include <ql/instruments/vanillaoption.hpp>
30#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
31#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
35 class YieldTermStructure;
36 class ExtOUWithJumpsProcess;
40 VanillaOption::results> {
44 ext::shared_ptr<YieldTermStructure> rTS,
48 ext::shared_ptr<Shape> shape = ext::shared_ptr<Shape>(),
54 const ext::shared_ptr<ExtOUWithJumpsProcess>
process_;
55 const ext::shared_ptr<YieldTermStructure>
rTS_;
FdmExtOUJumpModelInnerValue::Shape Shape
void calculate() const override
const ext::shared_ptr< ExtOUWithJumpsProcess > process_
const ext::shared_ptr< Shape > shape_
const ext::shared_ptr< YieldTermStructure > rTS_
const FdmSchemeDesc schemeDesc_
std::vector< std::pair< Time, Real > > Shape
template base class for option pricing engines
std::size_t Size
size of a container
static FdmSchemeDesc Hundsdorfer()