finitedifferences Directory Reference

Files
file	dynprogvppintrinsicvalueengine.cpp [code]
file	dynprogvppintrinsicvalueengine.hpp [code]
	intrinsic value engine using dynamic programming
file	fdextoujumpvanillaengine.cpp [code]
file	fdextoujumpvanillaengine.hpp [code]
	Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options.
file	fdklugeextouspreadengine.cpp [code]
file	fdklugeextouspreadengine.hpp [code]
	FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.
file	fdmdupire1dop.cpp [code]
file	fdmdupire1dop.hpp [code]
	Dupire local volatility pricing operator Note that time is reversed in order to make backward solvers work.
file	fdmexpextouinnervaluecalculator.hpp [code]
	inner value calculator for an exponential extended Ornstein Uhlenbeck grid
file	fdmextendedornsteinuhlenbeckop.cpp [code]
file	fdmextendedornsteinuhlenbeckop.hpp [code]
	Ornstein Uhlenbeck process plus jumps (Kluge Model)
file	fdmextoujumpmodelinnervalue.hpp [code]
	inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)
file	fdmextoujumpop.cpp [code]
file	fdmextoujumpop.hpp [code]
	Ornstein Uhlenbeck process plus jumps (Kluge Model)
file	fdmextoujumpsolver.cpp [code]
file	fdmextoujumpsolver.hpp [code]
file	fdmklugeextouop.cpp [code]
file	fdmklugeextouop.hpp [code]
	Kluge process (power) plus Ornstein Uhlenbeck process (gas)
file	fdmklugeextousolver.hpp [code]
	Kluge/extended Ornstein-Uhlenbeck FDM solver.
file	fdmsimple2dextousolver.hpp [code]
	solver for simple swing options based on ext OU process
file	fdmsimple3dextoujumpsolver.hpp [code]
	solver for simple swing options based on ext OU-Jump (Kluge) Model
file	fdmspreadpayoffinnervalue.hpp [code]
	inner value calculator for a spread payoff
file	fdmvppstartlimitstepcondition.cpp [code]
file	fdmvppstartlimitstepcondition.hpp [code]
	VPP incl start limit step condition for FD models.
file	fdmvppstepcondition.cpp [code]
file	fdmvppstepcondition.hpp [code]
	VPP step condition for FD models.
file	fdmvppstepconditionfactory.cpp [code]
file	fdmvppstepconditionfactory.hpp [code]
	factory for VPP step conditions for FD models
file	fdmzabrop.cpp [code]
file	fdmzabrop.hpp [code]
	Zabr linear pricing operator.
file	fdornsteinuhlenbeckvanillaengine.cpp [code]
file	fdornsteinuhlenbeckvanillaengine.hpp [code]
	Finite-Differences Ornstein Uhlenbeck vanilla option engine.
file	fdsimpleextoujumpswingengine.cpp [code]
	Finite Differences engine for simple swing options.
file	fdsimpleextoujumpswingengine.hpp [code]
	Finite Differences engine for simple swing options.
file	fdsimpleextoustorageengine.cpp [code]
	Finite Differences extended OU engine for simple storage options.
file	fdsimpleextoustorageengine.hpp [code]
	Finite Differences extended OU engine for simple storage options.
file	fdsimpleklugeextouvppengine.cpp [code]
file	fdsimpleklugeextouvppengine.hpp [code]
	Finite Differences engine for simple vpp options.
file	glued1dmesher.cpp [code]
	One-dimensional grid mesher combining two existing ones.
file	glued1dmesher.hpp [code]
	One-dimensional grid mesher combining two existing ones.
file	vanillavppoption.cpp [code]
file	vanillavppoption.hpp [code]
	vanilla virtual power plant option