fdsimpleextoujumpswingengine.hpp File Reference

Finite Differences engine for simple swing options. More...

#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaswingoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>

Go to the source code of this file.

Classes
class	FdSimpleExtOUJumpSwingEngine

Namespaces
namespace	QuantLib

Detailed Description

Finite Differences engine for simple swing options.

Definition in file fdsimpleextoujumpswingengine.hpp.