Kluge/extended Ornstein-Uhlenbeck FDM solver. More...
#include <ql/handle.hpp>#include <ql/patterns/lazyobject.hpp>#include <ql/experimental/processes/klugeextouprocess.hpp>#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>#include <ql/methods/finitedifferences/solvers/fdmndimsolver.hpp>#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
Kluge/extended Ornstein-Uhlenbeck FDM solver.