- QuantLib
- FdmKlugeExtOUOp
#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
Inherits FdmLinearOpComposite.
Public Member Functions | |
FdmKlugeExtOUOp (const boost::shared_ptr< FdmMesher > &mesher, const boost::shared_ptr< KlugeExtOUProcess > &klugeOUProcess, const boost::shared_ptr< YieldTermStructure > &rTS, const FdmBoundaryConditionSet &bcSet, Size integroIntegrationOrder) | |
Size | size () const |
void | setTime (Time t1, Time t2) |
Disposable< Array > | apply (const Array &r) const |
Disposable< Array > | apply_mixed (const Array &r) const |
Disposable< Array > | apply_direction (Size direction, const Array &r) const |
Disposable< Array > | solve_splitting (Size direction, const Array &r, Real s) const |
Disposable< Array > | preconditioner (const Array &r, Real s) const |
This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by
References: Kluge, Timo L., 2008. Pricing Swing Options and other Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf