A free/open-source library for quantitative finance
FdmKlugeExtOUOp Class Reference
#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
Inherits FdmLinearOpComposite.
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 |
 Public Member Functions inherited from FdmLinearOpComposite | |
| virtual Size | size () const =0 |
| virtual void | setTime (Time t1, Time t2)=0 |
Time  is required. | |
| virtual Disposable< Array > | apply_mixed (const Array &r) const =0 |
| virtual Disposable< Array > | apply_direction (Size direction, const Array &r) const =0 |
| virtual Disposable< Array > | solve_splitting (Size direction, const Array &r, Real s) const =0 |
| virtual Disposable< Array > | preconditioner (const Array &r, Real s) const =0 |
| Public Member Functions inherited from FdmLinearOp | |
| virtual Disposable< array_type > | apply (const array_type &r) const =0 |
Additional Inherited Members | |
| Public Types inherited from FdmLinearOp | |
| typedef Array | array_type |
Detailed Description
This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by
![\[ \begin{array}{rcl} P_t &=& \exp(p_t + X_t + Y_t) \\ dX_t &=& -\alpha X_tdt + \sigma_x dW_t^x \\ dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\ \omega(J) &=& \eta e^{-\eta J} \\ G_t &=& \exp(g_t + U_t) \\ dU_t &=& -\kappa U_tdt + \sigma_udW_t^u \\ \rho &=& \mathrm{corr} (dW_t^x, dW_t^u) \end{array} \]](form_133.png)
References: Kluge, Timo L., 2008. Pricing Swing Options and other Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf