JumpDiffusionEngine Class Reference

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

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

Inherits engine.

Public Member Functions
	JumpDiffusionEngine (const ext::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.