24#ifndef quantlib_fd_ornstein_uhlenbeck_vanilla_engine_hpp
25#define quantlib_fd_ornstein_uhlenbeck_vanilla_engine_hpp
27#include <ql/pricingengine.hpp>
28#include <ql/instruments/dividendvanillaoption.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
33 class YieldTermStructure;
34 class OrnsteinUhlenbeckProcess;
36 QL_DEPRECATED_DISABLE_WARNING
39 QL_DEPRECATED_ENABLE_WARNING
42 ext::shared_ptr<OrnsteinUhlenbeckProcess>,
43 const ext::shared_ptr<YieldTermStructure>& rTS,
46 Size dampingSteps = 0,
47 Real epsilon = 0.0001,
51 ext::shared_ptr<OrnsteinUhlenbeckProcess>,
52 const ext::shared_ptr<YieldTermStructure>& rTS,
56 Size dampingSteps = 0,
57 Real epsilon = 0.0001,
63 const ext::shared_ptr<OrnsteinUhlenbeckProcess>
process_;
64 const ext::shared_ptr<YieldTermStructure>
rTS_;
void calculate() const override
const ext::shared_ptr< YieldTermStructure > rTS_
DividendSchedule dividends_
const ext::shared_ptr< OrnsteinUhlenbeckProcess > process_
const FdmSchemeDesc schemeDesc_
std::size_t Size
size of a container
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
static FdmSchemeDesc Douglas()