fdsimplebsswingengine.hpp File Reference

Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options. More...

Include dependency graph for fdsimplebsswingengine.hpp:

Namespaces

 QuantLib
 

Detailed Description

Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options.

Finite Differences Black-Scholes engine for simple swing options.