FdmKlugeExtOUOp Class Reference

### A free/open-source library for quantitative finance

Public Member Functions
FdmKlugeExtOUOp Class Reference

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

Inherits FdmLinearOpComposite.

List of all members.

## 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

## Detailed Description

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by

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

http://spanderen.de/2011/06/13/vpp-pricing-i-stochastic-processes-partial-integro-differential-equation/