QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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mesher for a exponential jump mesher with high mean reversion rate and low jump intensity More...
#include <ql/math/incompletegamma.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/distributions/gammadistribution.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <algorithm>
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namespace | QuantLib |
mesher for a exponential jump mesher with high mean reversion rate and low jump intensity
Definition in file exponentialjump1dmesher.cpp.