JumpDiffusionEngine Class Reference

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

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

Public Member Functions
	JumpDiffusionEngine (ext::shared_ptr< Merton76Process >, Real relativeAccuracy_=1e-4, Size maxIterations=100)
void	calculate () const override

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.