QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Finite Differences engine for simple swing options. More...
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaswingoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
Go to the source code of this file.
Classes | |
class | FdSimpleExtOUJumpSwingEngine |
Namespaces | |
namespace | QuantLib |
Finite Differences engine for simple swing options.
Definition in file fdsimpleextoujumpswingengine.hpp.