JumpDiffusionEngine (3) Linux Manual Page

QuantLib::JumpDiffusionEngine – Jump-diffusion engine for vanilla options.

Synopsis

#include <ql/pricingengines/vanilla/jumpdiffusionengine.hpp>

Inherits VanillaOption::engine.

JumpDiffusionEngine (const boost::shared_ptr< Merton76Process > &, Real relativeAccuracy_=1e-4, Size maxIterations=100)

void calculate () const

Jump-diffusion engine for vanilla options.

Tests

*: the correctness of the returned value is tested by reproducing results available in literature.
*: the correctness of the returned greeks is tested by reproducing numerical derivatives.

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