23#ifndef quantlib_fdm_heston_hull_white_solver_hpp
24#define quantlib_fdm_heston_hull_white_solver_hpp
43 Rate corrEquityShortRate,
69 mutable ext::shared_ptr<Fdm3DimSolver>
solver_;
const Real corrEquityShortRate_
void performCalculations() const override
Real gammaAt(Real s, Real v, Rate r, Real eps) const
Real thetaAt(Real s, Real v, Rate r) const
Real valueAt(Real s, Real v, Rate r) const
const FdmSolverDesc solverDesc_
const Handle< HullWhiteProcess > hwProcess_
const Handle< HestonProcess > hestonProcess_
ext::shared_ptr< Fdm3DimSolver > solver_
Real deltaAt(Real s, Real v, Rate r, Real eps) const
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Framework for calculation on demand and result caching.
Dirichlet boundary conditions for differential operators.
Globally accessible relinkable pointer.
Heston stochastic process.
Hull-White stochastic processes.
framework for calculation on demand and result caching
ext::shared_ptr< YieldTermStructure > r
ext::shared_ptr< BlackVolTermStructure > v
static FdmSchemeDesc Hundsdorfer()