JumpDiffusionEngine Class Reference
[Vanilla option engines]

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

Inheritance diagram for JumpDiffusionEngine:

Inheritance graph
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List of all members.

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.


Public Member Functions

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