fdsimpleextoustorageengine.cpp File Reference

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

#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
#include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>
#include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/math/comparison.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/predefined1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>

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Namespaces
namespace	QuantLib

Detailed Description

Finite Differences extended OU engine for simple storage options.

Definition in file fdsimpleextoustorageengine.cpp.

Variable Documentation

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 62 of file fdsimpleextoustorageengine.cpp.