Ornstein Uhlenbeck process plus jumps (Kluge Model) More...
#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/fdmdirichletboundary.hpp>
Classes | |
| class | FdmExtOUJumpOp |
Ornstein Uhlenbeck process plus jumps (Kluge Model)