24#ifndef quantlib_fd_simple_kluge_ou_vpp_engine_hpp
25#define quantlib_fd_simple_kluge_ou_vpp_engine_hpp
36 class YieldTermStructure;
37 class KlugeExtOUProcess;
41 VanillaVPPOption::results> {
46 ext::shared_ptr<YieldTermStructure> rTS,
47 ext::shared_ptr<Shape> fuelShape,
48 ext::shared_ptr<Shape> powerShape,
59 const ext::shared_ptr<KlugeExtOUProcess>
process_;
60 const ext::shared_ptr<YieldTermStructure>
rTS_;
FdmExtOUJumpModelInnerValue::Shape Shape
void calculate() const override
const ext::shared_ptr< KlugeExtOUProcess > process_
const ext::shared_ptr< Shape > powerShape_
const Real fuelCostAddon_
const ext::shared_ptr< YieldTermStructure > rTS_
const ext::shared_ptr< Shape > fuelShape_
const FdmSchemeDesc schemeDesc_
std::vector< std::pair< Time, Real > > Shape
template base class for option pricing engines
inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)
std::size_t Size
size of a container
Base class for pricing engines.
static FdmSchemeDesc Hundsdorfer()
vanilla virtual power plant option