fdklugeextouspreadengine.hpp File Reference

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

Include dependency graph for fdklugeextouspreadengine.hpp:

Namespaces

 QuantLib
 

Detailed Description

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