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file | dynprogvppintrinsicvalueengine.hpp |
| intrinsic value engine using dynamic programming
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file | fdextoujumpvanillaengine.hpp |
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file | fdklugeextouspreadengine.hpp |
| FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.
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file | fdmblackscholesfwdop.hpp |
| Black Scholes linear operator for the Fokker-Planck forward equation.
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file | fdmdupire1dop.hpp |
| Dupire local volatility pricing operator Note that time is reversed in order to make backward solvers work.
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file | fdmexpextouinnervaluecalculator.hpp |
| inner value calculator for an exponential extended Ornstein Uhlenbeck grid
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file | fdmextendedornsteinuhlenbeckop.hpp |
| Ornstein Uhlenbeck process plus jumps (Kluge Model)
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file | fdmextoujumpmodelinnervalue.hpp |
| inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)
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file | fdmextoujumpop.hpp |
| Ornstein Uhlenbeck process plus jumps (Kluge Model)
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file | fdmextoujumpsolver.hpp |
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file | fdmhestonfwdop.hpp |
| Heston Fokker-Planck forward operator.
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file | fdmklugeextouop.hpp |
| Kluge process (power) plus Ornstein Uhlenbeck process (gas)
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file | fdmklugeextousolver.hpp |
| Kluge/extended Ornstein-Uhlenbeck FDM solver.
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file | fdmsimple2dextousolver.hpp |
| solver for simple swing options based on ext OU process
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file | fdmsimple3dextoujumpsolver.hpp |
| solver for simple swing options based on ext OU-Jump (Kluge) Model
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file | fdmspreadpayoffinnervalue.hpp |
| inner value calculator for a spread payoff
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file | fdmsquarerootfwdop.hpp |
| Square root linear operator for the Fokker-Planck forward equation.
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file | fdmvppstartlimitstepcondition.hpp |
| VPP incl start limit step condition for FD models.
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file | fdmvppstepcondition.hpp |
| VPP step condition for FD models.
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file | fdmvppstepconditionfactory.hpp |
| factory for VPP step conditions for FD models
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file | fdmzabrop.hpp |
| Zabr linear pricing operator.
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file | fdsimpleextoujumpswingengine.hpp |
| Finite Differences engine for simple swing options.
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file | fdsimpleextoustorageengine.hpp |
| Finite Differences extended OU engine for simple storage options.
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file | fdsimpleklugeextouvppengine.hpp |
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file | glued1dmesher.hpp |
| One-dimensional grid mesher combining two existing ones.
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file | modtriplebandlinearop.hpp |
| modifiable triple band linear operator
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file | vanillavppoption.hpp |
| vanilla virtual power plant option
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