solver for simple swing options based on ext OU process More...
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
Namespaces | |
QuantLib | |
solver for simple swing options based on ext OU process