fdmextoujumpmodelinnervalue.hpp File Reference

inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model) More...

#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/payoff.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	FdmExtOUJumpModelInnerValue

Namespaces
namespace	QuantLib

Detailed Description

inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)

Definition in file fdmextoujumpmodelinnervalue.hpp.