QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
fdmextoujumpop.hpp File Reference

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>

Go to the source code of this file.

Classes

class  FdmExtOUJumpOp
 

Namespaces

namespace  QuantLib
 

Detailed Description

Ornstein Uhlenbeck process plus jumps (Kluge Model)

Definition in file fdmextoujumpop.hpp.