exponentialjump1dmesher.cpp File Reference

mesher for a exponential jump mesher with high mean reversion rate and low jump intensity More...

#include <ql/math/incompletegamma.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/distributions/gammadistribution.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <algorithm>

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Namespaces
namespace	QuantLib

Detailed Description

mesher for a exponential jump mesher with high mean reversion rate and low jump intensity

Definition in file exponentialjump1dmesher.cpp.