QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
finitedifferences Directory Reference

Files

file  dynprogvppintrinsicvalueengine.hpp
 intrinsic value engine using dynamic programming
 
file  fdextoujumpvanillaengine.hpp
 
file  fdklugeextouspreadengine.hpp
 FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.
 
file  fdmblackscholesfwdop.hpp
 Black Scholes linear operator for the Fokker-Planck forward equation.
 
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  fdmhestonfwdop.hpp
 Heston Fokker-Planck forward operator.
 
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  fdmsquarerootfwdop.hpp
 Square root linear operator for the Fokker-Planck forward equation.
 
file  fdmvppstartlimitstepcondition.hpp
 VPP incl start limit step condition for FD models.
 
file  fdmvppstepcondition.hpp
 VPP step condition for FD models.
 
file  fdmvppstepconditionfactory.hpp
 factory for VPP step conditions 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  glued1dmesher.hpp
 One-dimensional grid mesher combining two existing ones.
 
file  modtriplebandlinearop.hpp
 modifiable triple band linear operator
 
file  vanillavppoption.hpp
 vanilla virtual power plant option