finitedifferences Directory Reference

Files
file	fdextoujumpvanillaengine.hpp
file	fdklugeextouspreadengine.hpp
	FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option.
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	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	fdmvppstepcondition.hpp
	VPP step condition for FD models.
file	fdsimpleextoujumpswingengine.hpp
	Finite Differences engine for simple swing options.
file	fdsimpleextoustorageengine.hpp
	Finite Differences extended OU engine for simple storage options.
file	fdsimpleklugeextouvppengine.hpp
file	vanillavppoption.hpp
	vanilla virtual power plant option