fdsimpleklugeextouvppengine.cpp File Reference

#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>
#include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/instruments/vanillaswingoption.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <list>
#include <utility>

Go to the source code of this file.

Namespaces
namespace	QuantLib

Variable Documentation

basketPayoff_

const ext::shared_ptr<BasketPayoff> basketPayoff_

private

Definition at line 70 of file fdsimpleklugeextouvppengine.cpp.

fuelPrice_

const ext::shared_ptr<FdmInnerValueCalculator> fuelPrice_

private

Definition at line 71 of file fdsimpleklugeextouvppengine.cpp.

powerPrice_

const ext::shared_ptr<FdmInnerValueCalculator> powerPrice_

private

Definition at line 72 of file fdsimpleklugeextouvppengine.cpp.