QuantLib_ExponentialJump1dMesher man page

ExponentialJump1dMesher —


#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>

Inherits Fdm1dMesher.

Public Member Functions

ExponentialJump1dMesher (Size steps, Real beta, Real jumpIntensity, Real eta, Real eps=1e-3)

Real jumpSizeDensity (Real x) const

Real jumpSizeDensity (Real x, Time t) const

Real jumpSizeDistribution (Real x) const

Real jumpSizeDistribution (Real x, Time t) const

Detailed Description

Mesher for a exponential jump process with high mean reversion rate and low jump intensity [ begin{array}{rcl} dY_t &=& -beta Y_{t-}dt + J_tdN_t \ omega(J)&=&ac{1}{\ta_u}e^{-ac{1}{\ta_u}J} \nd{array} ]

References: B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing swing options in electricity markets, http://people.maths.ox.ac.uk/hambly/PDF…


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Referenced By

ExponentialJump1dMesher(3), jumpSizeDensity(3) and jumpSizeDistribution(3) are aliases of QuantLib_ExponentialJump1dMesher(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib