fdklugeextouspreadengine.hpp File Reference

FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option. More...

#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>

Go to the source code of this file.

Classes
class	FdKlugeExtOUSpreadEngine

Namespaces
namespace	QuantLib

Detailed Description

FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.

Definition in file fdklugeextouspreadengine.hpp.