Finite Differences engine for simple swing options. More...
#include <ql/pricingengine.hpp>#include <ql/instruments/vanillaswingoption.hpp>#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
Finite Differences engine for simple swing options.