QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Namespaces
fdmexpextouinnervaluecalculator.hpp File Reference

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
 

Detailed Description

inner value calculator for an exponential extended Ornstein Uhlenbeck grid

Definition in file fdmexpextouinnervaluecalculator.hpp.