Ornstein Uhlenbeck process plus jumps (Kluge Model) More...
#include <ql/math/matrixutilities/sparsematrix.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
Classes | |
class | FdmExtOUJumpOp |
Namespaces | |
QuantLib | |
Ornstein Uhlenbeck process plus jumps (Kluge Model)