QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Ornstein Uhlenbeck process plus jumps (Kluge Model) More...
#include <ql/math/matrixutilities/sparsematrix.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
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Classes | |
class | FdmExtOUJumpOp |
Namespaces | |
namespace | QuantLib |
Ornstein Uhlenbeck process plus jumps (Kluge Model)
Definition in file fdmextoujumpop.hpp.