QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option. More...
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
Go to the source code of this file.
Classes | |
class | FdKlugeExtOUSpreadEngine |
Namespaces | |
namespace | QuantLib |
FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.
Definition in file fdklugeextouspreadengine.hpp.