JumpDiffusionEngine Class Reference
[Vanilla option engines]
Jump-diffusion engine for vanilla options.
More...
#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.