fdmklugeextousolver.hpp File Reference

Kluge/extended Ornstein-Uhlenbeck FDM solver. More...

#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
#include <ql/handle.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmndimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	FdmKlugeExtOUSolver< N >

Namespaces
namespace	QuantLib

Detailed Description

Kluge/extended Ornstein-Uhlenbeck FDM solver.

Definition in file fdmklugeextousolver.hpp.