Files | |
file | fdextoujumpvanillaengine.hpp |
file | fdklugeextouspreadengine.hpp |
FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option. | |
file | fdmexpextouinnervaluecalculator.hpp |
inner value calculator for an exponential extended Ornstein Uhlenbeck grid | |
file | fdmextendedornsteinuhlenbeckop.hpp |
Ornstein Uhlenbeck process plus jumps (Kluge Model) | |
file | fdmextoujumpmodelinnervalue.hpp |
inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model) | |
file | fdmextoujumpop.hpp |
Ornstein Uhlenbeck process plus jumps (Kluge Model) | |
file | fdmextoujumpsolver.hpp |
file | fdmklugeextouop.hpp |
Kluge process (power) plus Ornstein Uhlenbeck process (gas) | |
file | fdmklugeextousolver.hpp |
Kluge/extended Ornstein-Uhlenbeck FDM solver. | |
file | fdmsimple2dextousolver.hpp |
solver for simple swing options based on ext OU process | |
file | fdmsimple3dextoujumpsolver.hpp |
solver for simple swing options based on ext OU-Jump (Kluge) Model | |
file | fdmspreadpayoffinnervalue.hpp |
inner value calculator for a spread payoff | |
file | fdmvppstepcondition.hpp |
VPP step condition for FD models. | |
file | fdsimpleextoujumpswingengine.hpp |
Finite Differences engine for simple swing options. | |
file | fdsimpleextoustorageengine.hpp |
Finite Differences extended OU engine for simple storage options. | |
file | fdsimpleklugeextouvppengine.hpp |
file | vanillavppoption.hpp |
vanilla virtual power plant option | |