QuantLib_JumpDiffusionEngine man page

JumpDiffusionEngine — Jump-diffusion engine for vanilla options.

Synopsis

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

Inherits 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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

JumpDiffusionEngine(3) is an alias of QuantLib_JumpDiffusionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib