25#ifndef quantlib_fdm_3d_ext_ou_jump_solver_hpp
26#define quantlib_fdm_3d_ext_ou_jump_solver_hpp
43 ext::shared_ptr<YieldTermStructure> rTS,
53 return solver_->interpolateAt(x,
y, z);
58 ext::shared_ptr<FdmLinearOpComposite>op(
63 solver_ = ext::make_shared<Fdm3DimSolver>(
69 const ext::shared_ptr<YieldTermStructure>
rTS_;
73 mutable ext::shared_ptr<Fdm3DimSolver>
solver_;
void performCalculations() const override
FdmSimple3dExtOUJumpSolver(const Handle< ExtOUWithJumpsProcess > &process, ext::shared_ptr< YieldTermStructure > rTS, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
const FdmSolverDesc solverDesc_
const ext::shared_ptr< YieldTermStructure > rTS_
ext::shared_ptr< Fdm3DimSolver > solver_
Real valueAt(Real x, Real y, Real z) const
const Handle< ExtOUWithJumpsProcess > process_
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Framework for calculation on demand and result caching.
virtual void calculate() const
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
Ornstein Uhlenbeck process plus jumps (Kluge Model)
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
static FdmSchemeDesc Hundsdorfer()
const FdmBoundaryConditionSet bcSet
const ext::shared_ptr< FdmMesher > mesher
Interest-rate term structure.