fdmextoujumpop.hpp File Reference

Ornstein Uhlenbeck process plus jumps (Kluge Model) More...

#include <ql/math/matrixutilities/sparsematrix.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>

Go to the source code of this file.

Classes
class	FdmExtOUJumpOp

Namespaces
namespace	QuantLib

Detailed Description

Ornstein Uhlenbeck process plus jumps (Kluge Model)

Definition in file fdmextoujumpop.hpp.