24#ifndef quantlib_fd_ornstein_uhlenbeck_vanilla_engine_hpp
25#define quantlib_fd_ornstein_uhlenbeck_vanilla_engine_hpp
33 class YieldTermStructure;
34 class OrnsteinUhlenbeckProcess;
39 ext::shared_ptr<OrnsteinUhlenbeckProcess>,
40 const ext::shared_ptr<YieldTermStructure>& rTS,
43 Size dampingSteps = 0,
44 Real epsilon = 0.0001,
48 ext::shared_ptr<OrnsteinUhlenbeckProcess>,
49 const ext::shared_ptr<YieldTermStructure>& rTS,
53 Size dampingSteps = 0,
54 Real epsilon = 0.0001,
60 const ext::shared_ptr<OrnsteinUhlenbeckProcess>
process_;
61 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
Base class for pricing engines.
static FdmSchemeDesc Douglas()
Vanilla option on a single asset.