QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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finitedifferences Directory Reference

Files

file  dynprogvppintrinsicvalueengine.cpp [code]
 
file  dynprogvppintrinsicvalueengine.hpp [code]
 intrinsic value engine using dynamic programming
 
file  fdextoujumpvanillaengine.cpp [code]
 
file  fdextoujumpvanillaengine.hpp [code]
 Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options.
 
file  fdklugeextouspreadengine.cpp [code]
 
file  fdklugeextouspreadengine.hpp [code]
 FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.
 
file  fdmdupire1dop.cpp [code]
 
file  fdmdupire1dop.hpp [code]
 Dupire local volatility pricing operator Note that time is reversed in order to make backward solvers work.
 
file  fdmexpextouinnervaluecalculator.hpp [code]
 inner value calculator for an exponential extended Ornstein Uhlenbeck grid
 
file  fdmextendedornsteinuhlenbeckop.cpp [code]
 
file  fdmextendedornsteinuhlenbeckop.hpp [code]
 Ornstein Uhlenbeck process plus jumps (Kluge Model)
 
file  fdmextoujumpmodelinnervalue.hpp [code]
 inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)
 
file  fdmextoujumpop.cpp [code]
 
file  fdmextoujumpop.hpp [code]
 Ornstein Uhlenbeck process plus jumps (Kluge Model)
 
file  fdmextoujumpsolver.cpp [code]
 
file  fdmextoujumpsolver.hpp [code]
 
file  fdmklugeextouop.cpp [code]
 
file  fdmklugeextouop.hpp [code]
 Kluge process (power) plus Ornstein Uhlenbeck process (gas)
 
file  fdmklugeextousolver.hpp [code]
 Kluge/extended Ornstein-Uhlenbeck FDM solver.
 
file  fdmsimple2dextousolver.hpp [code]
 solver for simple swing options based on ext OU process
 
file  fdmsimple3dextoujumpsolver.hpp [code]
 solver for simple swing options based on ext OU-Jump (Kluge) Model
 
file  fdmspreadpayoffinnervalue.hpp [code]
 inner value calculator for a spread payoff
 
file  fdmvppstartlimitstepcondition.cpp [code]
 
file  fdmvppstartlimitstepcondition.hpp [code]
 VPP incl start limit step condition for FD models.
 
file  fdmvppstepcondition.cpp [code]
 
file  fdmvppstepcondition.hpp [code]
 VPP step condition for FD models.
 
file  fdmvppstepconditionfactory.cpp [code]
 
file  fdmvppstepconditionfactory.hpp [code]
 factory for VPP step conditions for FD models
 
file  fdmzabrop.cpp [code]
 
file  fdmzabrop.hpp [code]
 Zabr linear pricing operator.
 
file  fdornsteinuhlenbeckvanillaengine.cpp [code]
 
file  fdornsteinuhlenbeckvanillaengine.hpp [code]
 Finite-Differences Ornstein Uhlenbeck vanilla option engine.
 
file  fdsimpleextoujumpswingengine.cpp [code]
 Finite Differences engine for simple swing options.
 
file  fdsimpleextoujumpswingengine.hpp [code]
 Finite Differences engine for simple swing options.
 
file  fdsimpleextoustorageengine.cpp [code]
 Finite Differences extended OU engine for simple storage options.
 
file  fdsimpleextoustorageengine.hpp [code]
 Finite Differences extended OU engine for simple storage options.
 
file  fdsimpleklugeextouvppengine.cpp [code]
 
file  fdsimpleklugeextouvppengine.hpp [code]
 Finite Differences engine for simple vpp options.
 
file  glued1dmesher.cpp [code]
 One-dimensional grid mesher combining two existing ones.
 
file  glued1dmesher.hpp [code]
 One-dimensional grid mesher combining two existing ones.
 
file  vanillavppoption.cpp [code]
 
file  vanillavppoption.hpp [code]
 vanilla virtual power plant option