fdsimpleextoustorageengine.hpp File Reference

Finite Differences extended OU engine for simple storage options. More...

#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillastorageoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>

Go to the source code of this file.

Classes
class	FdSimpleExtOUStorageEngine

Namespaces
namespace	QuantLib

Detailed Description

Finite Differences extended OU engine for simple storage options.

Definition in file fdsimpleextoustorageengine.hpp.