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>
Namespaces | |
QuantLib | |
Finite Differences engine for simple swing options.
Finite Differences engine for simple vpp options.