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QuantLib_JumpDiffusionEngine
Langue: en
Version: 167519 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
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
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- the correctness of the returned value is tested by reproducing results available in literature.
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- the correctness of the returned greeks is tested by reproducing numerical derivatives.
Author
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