|  | 
| file | bsmrndcalculator.hpp | 
|  | risk neutral terminal density calculator for the Black-Scholes-Merton model with constant volatility 
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|  | 
| file | dynprogvppintrinsicvalueengine.hpp | 
|  | intrinsic value engine using dynamic programming 
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|  | 
| file | fdhestondoublebarrierengine.hpp | 
|  | Finite-Differences Heston double barrier option engine. 
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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 | 
|  | 
| file | fdmhestonfwdop.hpp | 
|  | Heston Fokker-Planck forward operator. 
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|  | 
| file | fdmhestongreensfct.hpp | 
|  | Heston Fokker-Planck Green's function. 
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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 | fdmlocalvolfwdop.hpp | 
|  | local volatility linear operator for the Fokker-Planck forward equation 
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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 | gbsmrndcalculator.hpp | 
|  | risk neutral terminal density calculator for the Black-Scholes-Merton model with strike dependent volatility 
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|  | 
| file | glued1dmesher.hpp | 
|  | One-dimensional grid mesher combining two existing ones. 
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|  | 
| file | hestonrndcalculator.hpp | 
|  | risk neutral terminal density calculator for the Heston stochastic volatility model 
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|  | 
| file | localvolrndcalculator.hpp | 
|  | local volatility risk neutral terminal density calculation 
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|  | 
| file | modtriplebandlinearop.hpp | 
|  | modifiable triple band linear operator 
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|  | 
| file | riskneutraldensitycalculator.hpp | 
|  | interface for a single asset risk neutral terminal density calculation 
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|  | 
| file | vanillavppoption.hpp | 
|  | vanilla virtual power plant option 
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|  |