23#ifndef quantlib_fdm_ext_ou_jump_solver_hpp
24#define quantlib_fdm_ext_ou_jump_solver_hpp
34 class ExtOUWithJumpsProcess;
35 class YieldTermStructure;
40 ext::shared_ptr<YieldTermStructure> rTS,
51 const ext::shared_ptr<YieldTermStructure>
rTS_;
55 mutable ext::shared_ptr<Fdm2DimSolver>
solver_;
ext::shared_ptr< Fdm2DimSolver > solver_
void performCalculations() const override
const FdmSolverDesc solverDesc_
Real valueAt(Real x, Real y) const
const ext::shared_ptr< YieldTermStructure > rTS_
const Handle< ExtOUWithJumpsProcess > process_
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Framework for calculation on demand and result caching.
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
static FdmSchemeDesc Hundsdorfer()