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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_exponential_jump1d_mesher.html">ExponentialJump1dMesher</a></li> </ul>
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<div class="title">ExponentialJump1dMesher Class Reference</div> </div>
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<p><code>#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp></code></p>
<p>Inherits Fdm1dMesher.</p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a71d3a400f8107ad1d604361cfc4012c2"><td class="memItemLeft" align="right" valign="top"><a id="a71d3a400f8107ad1d604361cfc4012c2"></a>
 </td><td class="memItemRight" valign="bottom"><b>ExponentialJump1dMesher</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> steps, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> beta, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> jumpIntensity, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> eta, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> eps=1e-3)</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>jumpSizeDensity</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>jumpSizeDensity</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>jumpSizeDistribution</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>jumpSizeDistribution</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Mesher for a exponential jump process with high mean reversion rate and low jump intensity </p><p class="formulaDsp">
\[ \begin{array}{rcl} dY_t &=& -\beta Y_{t-}dt + J_tdN_t \\ \omega(J)&=&\frac{1}{\eta_u}e^{-\frac{1}{\eta_u}J} \end{array} \]
</p>
<p>References: B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing swing options in electricity markets, <a href="http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf">http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf</a> </p>
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