fdmsimple2dextousolver.hpp File Reference

solver for simple swing options based on ext OU process More...

#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/handle.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	FdmSimple2dExtOUSolver

Namespaces
namespace	QuantLib

Detailed Description

solver for simple swing options based on ext OU process

Definition in file fdmsimple2dextousolver.hpp.