JumpDiffusionEngine Class Reference

Jump-diffusion engine for vanilla options. More...

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

Inherits engine.

List of all members.

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.