JumpDiffusionEngine (3) - Linux Manuals

JumpDiffusionEngine: Jump-diffusion engine for vanilla options.

NAME

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

SYNOPSIS

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

Inherits VanillaOption::engine.

Public Member Functions

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

void calculate () const

Detailed Description

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.

Author

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