Kluge process (power) plus Ornstein Uhlenbeck process (gas) More...
#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
Classes | |
class | FdmKlugeExtOUOp |
Namespaces | |
QuantLib | |
Kluge process (power) plus Ornstein Uhlenbeck process (gas)