QuantLib: ql/experimental/finitedifferences Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

finitedifferences Directory Reference

## Files
file | dynprogvppintrinsicvalueengine.hpp
| intrinsic value engine using dynamic programming
file | fdhestondoublebarrierengine.hpp
| Finite-Differences Heston double barrier option engine.
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 | fdmdupire1dop.hpp
| Dupire local volatility pricing operator Note that time is reversed in order to make backward solvers work.
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 | fdmhestongreensfct.hpp
| Heston Fokker-Planck Green's function.
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 | fdmzabrop.hpp
| Zabr linear pricing operator.
file | fdsimpleextoujumpswingengine.hpp
| Finite Differences engine for simple swing options.
file | fdsimpleextoustorageengine.hpp
| Finite Differences extended OU engine for simple storage options.
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