fdornsteinuhlenbeckvanillaengine.cpp File Reference

#include <ql/exercise.hpp>
#include <ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>

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Namespaces
namespace	QuantLib

Variable Documentation

payoff_

const ext::shared_ptr<Payoff> payoff_

private

Examples

DiscreteHedging.cpp.

Definition at line 54 of file fdornsteinuhlenbeckvanillaengine.cpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 55 of file fdornsteinuhlenbeckvanillaengine.cpp.

direction_

const Size direction_

private

Definition at line 56 of file fdornsteinuhlenbeckvanillaengine.cpp.