QuantLib_FdmKlugeExtOUOp man page



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

Inherits FdmLinearOpComposite.

Public Member Functions

FdmKlugeExtOUOp (const boost::shared_ptr< FdmMesher > &mesher, const boost::shared_ptr< KlugeExtOUProcess > &klugeOUProcess, 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

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by [ begin{array}{rcl} P_t &=& \xp(p_t + X_t + Y_t) \ dX_t &=& -alpha X_tdt + sigma_x dW_t^x \ dY_t &=& -beta Y_{t-}dt + J_tdN_t \ omega(J) &=& \ta e^{-\ta J} \ G_t &=& \xp(g_t + U_t) \ dU_t &=& -ppa U_tdt + sigma_udW_t^u \ rho &=& mathrm{corr} (dW_t^x, dW_t^u) \nd{array} ]

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

FdmKlugeExtOUOp(3) is an alias of QuantLib_FdmKlugeExtOUOp(3).

Fri Jun 2 2017 Version 1.10 QuantLib