FdmExtOUJumpOp Class Reference

#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>

Inherits FdmLinearOpComposite.

List of all members.

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

Detailed Description

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