QuantLib_FdmExtOUJumpOp man page



#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>

Inherits FdmLinearOpComposite.

Public Member Functions

FdmExtOUJumpOp (const boost::shared_ptr< FdmMesher > &mesher, const boost::shared_ptr< ExtOUWithJumpsProcess > &process, const boost::shared_ptr< YieldTermStructure > &rTS, const FdmBoundaryConditionSet &bcSet, Size integroIntegrationOrder)
Size size () const
void setTime (Time t1, Time t2)
Disposable< Array > apply (const Array &r) const
Disposable< Array > apply_mixed (const Array &r) const
Disposable< Array > apply_direction (Size direction, const Array &r) const
Disposable< Array > solve_splitting (Size direction, const Array &r, Real s) const
Disposable< Array > preconditioner (const Array &r, Real s) const
Disposable< std::vector< SparseMatrix > > toMatrixDecomp () const

Detailed Description

References: Kluge, Timo L., 2008. Pricing Swing Options and other Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf


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Referenced By

The man pages apply(3), apply_direction(3), apply_mixed(3), FdmExtOUJumpOp(3), preconditioner(3), solve_splitting(3) and toMatrixDecomp(3) are aliases of QuantLib_FdmExtOUJumpOp(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib