FdmExtOUJumpOp Class Reference

#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< Arrayapply (const Array &r) const
 
Disposable< Arrayapply_mixed (const Array &r) const
 
Disposable< Arrayapply_direction (Size direction, const Array &r) const
 
Disposable< Arraysolve_splitting (Size direction, const Array &r, Real s) const
 
Disposable< Arraypreconditioner (const Array &r, Real s) const
 
- Public Member Functions inherited from FdmLinearOpComposite
virtual Size size () const =0
 
virtual void setTime (Time t1, Time t2)=0
 Time $t1 <= t2$ is required.
 
virtual Disposable< Arrayapply_mixed (const Array &r) const =0
 
virtual Disposable< Arrayapply_direction (Size direction, const Array &r) const =0
 
virtual Disposable< Arraysolve_splitting (Size direction, const Array &r, Real s) const =0
 
virtual Disposable< Arraypreconditioner (const Array &r, Real s) const =0
 
- Public Member Functions inherited from FdmLinearOp
virtual Disposable< array_typeapply (const array_type &r) const =0
 

Additional Inherited Members

- Public Types inherited from FdmLinearOp
typedef Array array_type
 

Detailed Description

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