QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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inner value calculator for an exponential extended Ornstein Uhlenbeck grid More...
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/payoff.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | FdmExpExtOUInnerValueCalculator |
Namespaces | |
namespace | QuantLib |
inner value calculator for an exponential extended Ornstein Uhlenbeck grid
Definition in file fdmexpextouinnervaluecalculator.hpp.