QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Namespaces
fdsimpleextoujumpswingengine.hpp File Reference

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
 

Detailed Description

Finite Differences engine for simple swing options.

Definition in file fdsimpleextoujumpswingengine.hpp.