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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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