ExponentialJump1dMesher Class Reference

#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>

Inherits Fdm1dMesher.

Public Member Functions
	ExponentialJump1dMesher (Size steps, Real beta, Real jumpIntensity, Real eta, Real eps=1e-3)

Real	jumpSizeDensity (Real x) const

Real	jumpSizeDensity (Real x, Time t) const

Real	jumpSizeDistribution (Real x) const

Real	jumpSizeDistribution (Real x, Time t) const

Public Member Functions inherited from Fdm1dMesher
	Fdm1dMesher (Size size)

Size	size () const

Real	dplus (Size index) const

Real	dminus (Size index) const

Real	location (Size index) const

const std::vector< Real > &	locations () const

Additional Inherited Members
Protected Attributes inherited from Fdm1dMesher
std::vector< Real >	locations_

std::vector< Real >	dplus_

std::vector< Real >	dminus_

Detailed Description

Mesher for a exponential jump process with high mean reversion rate and low jump intensity

$\begin{array}{rcl} dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\ \omega(J)&=&\frac{1}{\eta_u}e^{-\frac{1}{\eta_u}J} \end{array}$

References: B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing swing options in electricity markets, http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf