QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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solver for simple swing options based on ext OU-Jump (Kluge) Model More...
#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/handle.hpp>
#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | FdmSimple3dExtOUJumpSolver |
Namespaces | |
namespace | QuantLib |
solver for simple swing options based on ext OU-Jump (Kluge) Model
Definition in file fdmsimple3dextoujumpsolver.hpp.